REIT Mimicking Portfolio Analysis
AbstractIt is well known that expected returns vary by industry (Lyon et al., 1999), and that REIT-based mimicking portfolios may capture the information in real estate investment trust (REIT) prices (Downs, 2000). This study performs REIT-based mimicking portfolio analysis. The results indicate that when the Capital Asset Pricing Model and the Fama-French (1993) three-factor model are used to evaluate the performance of a REIT portfolio, the probability for making Type I error exceeds its significance level. Performance tests are better specified when mimicking portfolios are constructed with the firms from the REIT industry. In addition, the market beta of REIT portfolios appears to converge to the market beta of the NCREIF Index when REIT-based mimicking portfolios are included into the specification. The result is consistent with the notion that there is a strong linkage between REIT returns and the underlying real estate factor (Ziering et al., 1997).
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Bibliographic InfoArticle provided by Asian Real Estate Society in its journal International Real Estate Review.
Volume (Year): 9 (2006)
Issue (Month): 1 ()
Contact details of provider:
Postal: Asia Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA
Web page: http://www.asres.org/
Postal: Asian Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA
Find related papers by JEL classification:
- L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
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- Bradford Case & Yawei Yang & Yildiray Yildirim, 2012. "Dynamic Correlations Among Asset Classes: REIT and Stock Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 298-318, April.
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