ETF Short Shares: The Next Stage in the Evolution of REIT Ownership

26 Pages Posted: 18 Mar 2011

See all articles by Michael Seiler

Michael Seiler

College of William and Mary - Finance

Vicky L. Seiler

Johns Hopkins University

Date Written: November 2008

Abstract

This study introduces a new publicly traded real estate security known as an ETF REIT short share. In addition to examining the return, correlation, autocorrelation, partial-order autocorrelation, stationarity, and Granger Causality characteristics of this new investment vehicle, we demonstrate that REITs warrant inclusion in mixed asset portfolios to varying degrees regardless of which direction the investor feels the REIT market is headed.

Keywords: Portfolio Analysis, ETF, Short Shares, REITs

Suggested Citation

Seiler, Michael and Seiler, Vicky L., ETF Short Shares: The Next Stage in the Evolution of REIT Ownership (November 2008). Journal of Real Estate Portfolio Management, Vol. 15, No. 1, 2009. Available at SSRN: https://ssrn.com/abstract=1784803

Michael Seiler (Contact Author)

College of William and Mary - Finance ( email )

VA
United States

HOME PAGE: http://mason.wm.edu/faculty/directory/seiler_m.php

Vicky L. Seiler

Johns Hopkins University ( email )

Baltimore, MD 20036-1984
United States

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