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Apartment REITs and Apartment Real Estate

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Author Info
Youguo Liang (The Yarmouth Group, Inc. 10 East 50th Street, NW New York, New York 10022)
Arjun Chatrath (Lake Erie College Painesville, Ohio 44077)
Willard McIntosh (Prudential Real Estate Investors 8 Campus Drive Parsippany, New Jersey 07054)
Abstract

This study employs a "hedged" apartment REIT index to track the performance of apartment real estate and to assess the performance of apartments in efficient mixed-asset portfolios consisting of stocks, bonds and real estate. The hedged apartment index reflects the returns of apartment REITs after the effects of equity REITs and the stock market are removed from the apartment REIT returns. It is demonstrated that the hedged apartment REIT index captures a substantial amount of the volatility unique to apartment real estate. Furthermore, the hedged apartment REIT index does not suffer from the appraisal-smoothing problem and the apparent seasonality of appraisal-based indices, such as the Russell-NCREIF apartment index. Therefore, it would appear that the hedged apartment REIT index can be employed as a proxy for apartment real estate in portfolio allocation decisions. This study provides evidence that apartment real estate should be a candidate for some efficient mixed-asset portfolios.

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File URL: http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/past/vol11n03/v11p277.pdf
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Publisher Info
Article provided by American Real Estate Society in its journal Journal of Real Estate Research.

Volume (Year): 11 (1996)
Issue (Month): 3 ()
Pages: 277-290
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:jre:issued:v:11:n:3:1996:p:277-290

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Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
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Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

References listed on IDEAS
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  1. S. Michael Giliberto, 1988. "A Note on the use of Appraisal Data in Indexes of Performance Measurement," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 16(1), pages 77-83. [Downloadable!] (restricted)
  2. William C. Wheaton & Raymond G. Torto, 1989. "Income and Appraised Values: A Reexamination of the FRC Returns Data," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 17(4), pages 439-449. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Yougou Liang & Michael J. Seiler & Arjun Chatrath, 1998. "Are REIT Returns Hedgeable?," Journal of Real Estate Research, American Real Estate Society, vol. 16(1), pages 87-98. [Downloadable!]
  2. Arjun Chatrath & Youguo Liang, 1998. "REITs and Inflation: A Long-Run Perspective," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 311-326. [Downloadable!]
  3. Hamelink, Foort & Hoesli, Martin, 2002. "What Factors Determine International Real Estate Security Returns?," SIFR Research Report Series 7, Institute for Financial Research. [Downloadable!]
  4. Patricia Fraser & Martin Hoesli & Lynn McAlevey, 2008. "House Prices and Bubbles in New Zealand," The Journal of Real Estate Finance and Economics, Springer, vol. 37(1), pages 71-91, July. [Downloadable!] (restricted)
  5. Simon Stevenson, 2000. "International Real Estate Diversification: Empirical Tests using Hedged Indices," Journal of Real Estate Research, American Real Estate Society, vol. 19(1), pages 105-131. [Downloadable!]
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