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Substitutability between Equity REITs and Mortgage REITs

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Author Info

  • Ming-Long Lee

    ()
    (National Yulin University of Science and Technology, Touliu, Yulin, Taiwan 640)

  • Kevin C.H. Chiang

    ()
    (University of Alaska Fairbanks, Fairbanks, AK 99775)

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    Abstract

    This study extends Seck’s (1996) approach to investigate the degree of substitutability between equity real estate investment trusts (EREITs) and mortgage real estate investment trusts (MREITs). The variance ratio test and the variance decomposition of forecast errors yield results indicating the existence of informational commonality between EREITs and MREITs. The findings indicate that the two types of REITs are substitutable. A direct implication is that investors who believe they have superior forecasting ability will be indifferent to invest in either type of REIT. Another implication is that REITs can be treated as a single asset class in constructing a diversified multi-asset portfolio.

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    File URL: http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/past/vol26n01/05.95_114.pdf
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    Bibliographic Info

    Article provided by American Real Estate Society in its journal Journal of Real Estate Research.

    Volume (Year): 26 (2004)
    Issue (Month): 1 ()
    Pages: 95-114

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    Handle: RePEc:jre:issued:v:26:n:1:2004:p:95-114

    Contact details of provider:
    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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    Web page: http://www.aresnet.org/

    Order Information:
    Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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    Web: http://aux.zicklin.baruch.cuny.edu/jrer/about/get.htm

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    Cited by:
    1. Roland Füss & Felix Schindler, 2011. "Diversifikationsvorteile verbriefter Immobilienanlagen in einem Mixed‐Asset‐Portfolio," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 12(2), pages 170-191, 05.
    2. John Cotter & Simon Stevenson, 2011. "Uncovering Volatility Dynamics in Daily REIT Returns," Papers 1103.5417, arXiv.org.
    3. Simon Stevenson & James Young, . "Capital Market Expectations and the London Office Market," Real Estate & Planning Working Papers rep-wp2011-09, Henley Business School, Reading University.
    4. John Cotter & Simon Stevenson, 2011. "Multivariate Modeling of Daily REIT Volatility," Papers 1103.5660, arXiv.org.
    5. Gwangheon Hong & Bong Lee, 2013. "Does Inflation Illusion Explain the Relation between REITs and Inflation?," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 123-151, July.
    6. Chiuling Lu & Yiuman Tse & Michael Williams, 2013. "Returns transmission, value at risk, and diversification benefits in international REITs: evidence from the financial crisis," Review of Quantitative Finance and Accounting, Springer, vol. 40(2), pages 293-318, February.

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