Abstract

http://ssrn.com/abstract=1879968
 
 

References (26)



 
 

Citations (2)



 


 



REITS and Underlying Real Estate Markets: Is There a Link?


Andrey D. Pavlov


Simon Fraser University (SFU) - Finance Area

Susan M. Wachter


University of Pennsylvania - Wharton School, Department of Real Estate

June 27, 2011

U of Penn, Inst for Law & Econ Research Paper No. 11-20

Abstract:     
This paper utilizes the Carlson, Titman, and Tiu (2010) model of REIT returns to estimate the strength of the relationship between REIT and underlying real estate returns. Our work further offers an innovative method for computing the returns of the real estate properties underlying each REIT using the Moody’s/REAL commercial property price indices by region and property type. We find a statistically significant relationship between REIT and real estate returns only in the office sector. Other property types offer only very weak and insignificant relationships. This finding suggests that direct real estate investment or investment through the property price index derivatives cannot be replicated using REITs.

Number of Pages in PDF File: 71

Keywords: property price index, real estate investment trusts, real estate returns, commercial real estate, property prices, local agglomeration effects, closed-end mutual fund

JEL Classification: G18, G28, R33

working papers series


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Date posted: July 7, 2011  

Suggested Citation

Pavlov, Andrey D. and Wachter, Susan M., REITS and Underlying Real Estate Markets: Is There a Link? (June 27, 2011). U of Penn, Inst for Law & Econ Research Paper No. 11-20. Available at SSRN: http://ssrn.com/abstract=1879968 or http://dx.doi.org/10.2139/ssrn.1879968

Contact Information

Andrey D. Pavlov
Simon Fraser University (SFU) - Finance Area ( email )
Burnaby, British Columbia V5A 1S6
Canada
604 291 5835 (Phone)
604 291 4920 (Fax)
Susan M. Wachter (Contact Author)
University of Pennsylvania - Wharton School, Department of Real Estate ( email )
The Wharton School
3620 Locust Walk
Philadelphia, PA 19104-6330
United States
215-898-6355 (Phone)

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