REIT Mimicking Portfolio Analysis

Kevin C.H. Chiang (), Kirill Kozhevnikov, Ming-Long Lee and Craig H. Wisen
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Kevin C.H. Chiang: College of Business Administration, Northern Arizona University, Flagstaff, AZ 86011, USA
Kirill Kozhevnikov: Lundquist College of Business, University of Oregon, Eugene, OR 97403, USA
Ming-Long Lee: Department of Finance, National Yulin University of Science and Technology, Touliu, Yulin, Taiwan
Craig H. Wisen: School of Management, University of Alaska Fairbanks, Fairbanks, AK 99775, USA

International Real Estate Review, 2006, vol. 9, issue 1, 95-111

Abstract: It is well known that expected returns vary by industry (Lyon et al., 1999), and that REIT-based mimicking portfolios may capture the information in real estate investment trust (REIT) prices (Downs, 2000). This study performs REIT-based mimicking portfolio analysis. The results indicate that when the Capital Asset Pricing Model and the Fama-French (1993) three- factor model are used to evaluate the performance of a REIT portfolio, the probability for making Type I error exceeds its significance level. Performance tests are better specified when mimicking portfolios are constructed with the firms from the REIT industry. In addition, the market beta of REIT portfolios appears to converge to the market beta of the NCREIF Index when REIT-based mimicking portfolios are included into the specification. The result is consistent with the notion that there is a strong linkage between REIT returns and the underlying real estate factor (Ziering et al., 1997).

Keywords: REIT; mimicking portfolio; performance evaluation (search for similar items in EconPapers)
JEL-codes: L85 (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (3)

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