Apartment REITs and Apartment Real Estate

Youguo Liang, Arjun Chatrath and Willard McIntosh
Additional contact information
Youguo Liang: The Yarmouth Group, Inc. 10 East 50th Street, NW New York, New York 10022, http://www.bus.ucf.edu/finance/
Arjun Chatrath: Lake Erie College Painesville, Ohio 44077, http://www.lec.edu/_.htm
Willard McIntosh: Prudential Real Estate Investors 8 Campus Drive Parsippany, New Jersey 07054, http://www.prudential.com/inst/business/prei/

Journal of Real Estate Research, 1996, vol. 11, issue 3, pages 277-290

Abstract: This study employs a "hedged" apartment REIT index to track the performance of apartment real estate and to assess the performance of apartments in efficient mixed-asset portfolios consisting of stocks, bonds and real estate. The hedged apartment index reflects the returns of apartment REITs after the effects of equity REITs and the stock market are removed from the apartment REIT returns. It is demonstrated that the hedged apartment REIT index captures a substantial amount of the volatility unique to apartment real estate. Furthermore, the hedged apartment REIT index does not suffer from the appraisal-smoothing problem and the apparent seasonality of appraisal-based indices, such as the Russell-NCREIF apartment index. Therefore, it would appear that the hedged apartment REIT index can be employed as a proxy for apartment real estate in portfolio allocation decisions. This study provides evidence that apartment real estate should be a candidate for some efficient mixed-asset portfolios.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1996
View list of references View citations in EconPapers

Downloads: (external link)
http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/past/vol11n03/v11p277.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:jre:issued:v:11:n:3:1996:p:277-290

Ordering information: This journal article can be ordered from
Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
http://aux.zicklin.b ... u/jrer/about/get.htm

Access Statistics for this article

Journal of Real Estate Research is edited by Dr. Ko Wang

More articles in Journal of Real Estate Research from American Real Estate Society
Address: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
Series data maintained by JRER Graduate Assistant/Webmaster ().