A Comparative Anatomy of REITS and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics
28 Pages Posted: 7 Dec 2009
There are 2 versions of this paper
A Comparative Anatomy of REITS and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics
A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics
Date Written: October 28, 2009
Abstract
Real Estate Investment Trusts (REITs) are the only truly liquid assets related to real estate investments. We study the behavior of U.S. REITs over the past three decades and document their return characteristics. REITs have somewhat less market risk than equity; their betas against a broad market index average about .65. Decomposing their covariances into principal components reveals several strong factors. REIT characteristics differ to some extent from those of the S&P/Case-Shiller (SCS) residential real estate indexes. This is partly attributable to methods of index construction. Our examination of REITs suggests that investment in real estate is far more risky than what might be inferred from the widely-followed SCS series.
Keywords: REITs, real estate risk
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
Real Estate Mutual Funds: Performance and Persistence
By Crystal Yan Lin and Kenneth Yung
-
Alternative Benchmarks for Evaluating REIT Mutual Fund Performance
By Jay C. Hartzell, Tobias Muhlhofer, ...
-
By Anand M. Vijh and Ashish Tiwari