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

Files in This Item:
File Description SizeFormat 
WP-10-02.pdf389.42 kBAdobe PDFDownload
Title: A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics
Authors: Cotter, John
Roll, Richard
Permanent link: http://hdl.handle.net/10197/2563
Date: 28-Oct-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.
Funding Details: Not applicable
Type of material: Working Paper
Publisher: University College Dublin. School of Business. Centre for Financial Markets
University College Dublin. Geary Institute
Series/Report no.: 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
Other versions: http://www.ucd.ie/bankingfinance/docs/wp/WP-10-02.pdf
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

Show full item record

Google ScholarTM

Check


This item is available under the Attribution-NonCommercial-NoDerivs 3.0 Ireland. No item may be reproduced for commercial purposes. For other possible restrictions on use please refer to the publisher's URL where this is made available, or to notes contained in the item itself. Other terms may apply.