REIT's, Do They Provide Diversification When It is Most Needed?

Posted: 10 Dec 2008

Date Written: October 10, 2008

Abstract

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

Suggested Citation

Simon, Steven C. J., REIT's, Do They Provide Diversification When It is Most Needed? (October 10, 2008). Available at SSRN: https://ssrn.com/abstract=1314241

Steven C. J. Simon (Contact Author)

Free University of Brussels ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

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