Economics at your fingertips  

An Anatomy of the Interrelationship between Equity and Mortgage REITs

J. Andrew Hansz (), Wikrom Prombutr (), Ying Zhang () and Tingyu Zhou ()
Additional contact information
J. Andrew Hansz: Old Dominion University
Wikrom Prombutr: California State University
Ying Zhang: Fairfield University.
Tingyu Zhou: Concordia University

International Real Estate Review, 2017, vol. 20, issue 3, 287-324

Abstract: We investigate the long- and short-term interrelationships between equity and mortgage real estate investment trusts (REITs) by focusing on decomposed income and appreciation components. We find that the previously documented long-term cointegration relation between equity and mortgage REIT prices stems exclusively from their income components and subsequently, the appreciation components contribute nothing to such a long-term relationship. We also find that the previously documented short-term causal relation between equity and mortgage REIT returns is due to the causality that runs from the appreciation returns of equity REITs to those of mortgage REITs while their income returns do not lead to causality. Lastly, we show that the income returns of both equity and mortgage REITs are influenced by the same equity market factor while their appreciation returns are responsive to different macroeconomic factors, which explain the heterogeneous performance between them.

Keywords: Equity REITs; Mortgage REITs; Income Component; Appreciation Component; Cointegration; Causality (search for similar items in EconPapers)
JEL-codes: L85 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) 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:

Ordering information: This journal article can be ordered from
Asian Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA

Access Statistics for this article

International Real Estate Review is currently edited by Professor Ko Wang, Professor Hongyu Liu and Professor Rose Neng Lai

More articles in International Real Estate Review from Asian Real Estate Society Asia Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA.
Bibliographic data for series maintained by IRER Secretary Office/Webmaster ().

Page updated 2019-05-15
Handle: RePEc:ire:issued:v:20:n:03:2017:p:287-324