REIT's, Do They Provide Diversification When It is Most Needed?
Posted: 10 Dec 2008
Date Written: October 10, 2008
I estimate the strength of the tail dependence between different REIT indices and the market for common stocks in the US using a non-parametric approach. The results show that there is both lower and upper tail dependence between the REIT market and the common stock market. As a result, an investment in REIT's will most likely not provide an effective cushion during stock market downturns.
Keywords: REIT's, extreme-value dependence, non-parametric methods
JEL Classification: C13, C22, G11
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