Are Reits Real Estate? Evidence from Sector Level Data

Martin Hoesli and Elias Oikarinen

ERES from European Real Estate Society (ERES)

Abstract: The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns. In contrast to previous research, which has generally relied on overall real estate market indices and neglected the potential long-term dynamics, our econometric evaluation is based on sector level data for the U.S and aims to cater for both the short-term and long-term dynamics of the assets. The use of sector level data is likely to yield more accurate results regarding the linkages between direct and securitized real estate. In addition to the real estate and stock market indices, the analysis includes a number of fundamental variables that are expected to influence real estate and stock returns significantly. We estimate vector error-correction models and investigate the forecast error variance decompositions and impulse responses of the assets. Both the variance decompositions and impulse responses suggest that the long-run REIT market performance is much more closely related to the direct real estate market than to the general stock market. Consequently, REITs and direct real estate should be relatively good substitutes in a long-horizon investment portfolio.

JEL-codes: R3 (search for similar items in EconPapers)
Date: 2011-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://eres.architexturez.net/doc/oai-eres-id-eres2011-221 (text/html)
https://eres.architexturez.net/system/files/pdf/eres2011_221.content.pdf (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:arz:wpaper:eres2011_221

Access Statistics for this paper

More papers in ERES from European Real Estate Society (ERES) Contact information at EDIRC.
Bibliographic data for series maintained by Architexturez Imprints ().