Advanced Search
MyIDEAS: Login to save this article or follow this journal

A Comparison of the Recent Performance of Publicly Traded Real Property Portfolios and Common Stock

Contents:

Author Info

  • John D. Martin
  • Douglas O. Cook
Registered author(s):

    Abstract

    In this study we compare the returns earned by investments in publicly traded limited partnerships (PTLPs), finite life equity REITs, and traditional equity REITs with those resulting from investing in common stocks (proxied by closed-end mutual funds). Performance comparisons are made using generalized stochastic dominance (GSD). This tool avoids the "joint hypothesis problem" that arises when an asset pricing model is used as a performance benchmark. The results of the analysis indicate that the performance of the closed-end mutual funds was preferred to that of the individual equity REITs (both traditional and finite life) and PTLP securities by a wide array of risk-averse investors. This result was most pronounced following the passage of the Tax Reform Act of 1986 which severely restricted the tax deductibility of real estate losses. When the equity REITs were combined into portfolios, their performance dominated the mutual funds during the 1980-85 period. Further, the PTLP portfolio returns were preferred to several of the mutual funds even in the post-1985 period. These findings reflect the fact that the securitized real property portfolios studied are not as well diversified as mutual funds. However, the mutual funds remained the dominant investment alternative in the post-1986 period. Copyright American Real Estate and Urban Economics Association.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1540-6229.00549
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by American Real Estate and Urban Economics Association in its journal Real Estate Economics.

    Volume (Year): 19 (1991)
    Issue (Month): 2 ()
    Pages: 184-212

    as in new window
    Handle: RePEc:bla:reesec:v:19:y:1991:i:2:p:184-212

    Contact details of provider:
    Postal: Indiana University, Kelley School of Business, 1309 East Tenth Street, Suite 738, Bloomington, Indiana 47405
    Phone: (812) 855-7794
    Fax: (812) 855-8679
    Email:
    Web page: http://www.blackwellpublishing.com/journal.asp?ref=1080-8620
    More information through EDIRC

    Order Information:
    Web: http://www.blackwellpublishing.com/subs.asp?ref=1080-8620

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Peter Oppenheimer & Terry V. Grissom, 1998. "Frequency Space Correlation Between REITs and Capital Market Indices," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 291-310.
    2. Marcus T. Allen & Jeff Madura & Kenneth J. Wiant, 1995. "Commercial Bank Exposure and Sensitivity to the Real Estate Market," Journal of Real Estate Research, American Real Estate Society, vol. 10(2), pages 129-140.
    3. David C. Ling, 1993. "Probabilistic Valuation Models and Income Tax Asymmetries with an Application to the Analysis of Passive Loss Restrictions," Journal of Real Estate Research, American Real Estate Society, vol. 8(2), pages 205-220.
    4. Barbara J. Davis & Roger M. Shelor, 1995. "Executive Compensation and Financial Performance in the Real Estate Industry," Journal of Real Estate Research, American Real Estate Society, vol. 10(2), pages 141-152.
    5. F.C. Neil Myer & James R. Webb, 1993. "Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison," Journal of Real Estate Research, American Real Estate Society, vol. 8(1), pages 87-106.
    6. F.C. Neil Myer & James R. Webb, 1993. "The Effect of Benchmark Choice on Risk-Adjusted Performance Measures for Commingled Real Estate Funds," Journal of Real Estate Research, American Real Estate Society, vol. 8(2), pages 189-204.
    7. Tien Foo Sing, 2004. "Common risk factors and risk premia in direct and securitized real estate markets," Journal of Property Research, Taylor & Francis Journals, vol. 21(3), pages 189-207, December.
    8. Jun Han & Youguo Liang, 1995. "The Historical Performance of Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 10(3), pages 235-262.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:bla:reesec:v:19:y:1991:i:2:p:184-212. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.