The Predictability of REIT Returns and Market Segmentatio

Yuming Li () and Ko Wang ()
Additional contact information
Yuming Li: School of Business Administration University of Michigan Ann Arbor, Michigan 48109 and Department of Finance California State University, Fullerton Fullerton, California 92634, http://www.bus.umich.edu/andhttp://business.fullerton.edu/finance

Journal of Real Estate Research, 1995, vol. 10, issue 4, 471-482

Abstract: Recent research suggests that real estate returns are more predictable than the returns of other assets and that the real estate market is segmented from the general stock market. This study examines these two issues empirically using a multifactor asset pricing model that allows for time-varying risk premiums. The results indicate that, in a general two-factor asset pricing framework, the REIT market is integrated with the general stock market. Furthermore, no evidence can be found that REIT returns are more predictable than the returns of other stocks.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1995
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (46)

Downloads: (external link)
http://pages.jh.edu/jrer/papers/pdf/past/vol10n04/v10p471.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: https://EconPapers.repec.org/RePEc:jre:issued:v:10:n:5:1994:p:471-482

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://pages.jh.edu/jrer/about/get.htm

Access Statistics for this article

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

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