Are REIT Returns Hedgeable?
University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration
Prudential Real Estate Investors
Michael J. Seiler
Hawaii Pacific University - Department of Finance
Journal of Real Estate Research, Vol. 16, No. 1, September 1998
This study examines the ability of existing futures contracts to hedge the returns on real estate investment trusts (REITs). The results from various hedging strategies suggest that existing futures contracts do not provide the means to effectively hedge REIT returns. REITs could remain unhedgeable until futures contracts written specifically on REITs are developed.
JEL Classification: G13, G23Accepted Paper Series
Date posted: October 22, 1998
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