A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics

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Author(s)
Uri
Date Issued
28 October 2009
Date Available
22T12:34:32Z November 2010
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.
Sponsorship
Not applicable
Type of Material
Working Paper
Publisher
University College Dublin. School of Business. Centre for Financial Markets
University College Dublin. Geary Institute
Series
Centre for Financial Markets working paper series
WP 10 02
UCD Geary Institute Discussion Paper Series
WP 10 08
Subject – LCSH
Real estate investment trusts
Risk--Econometric models
Web versions
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
Owning collection
Centre for Financial Markets Working Papers