The Long-Run Dynamics between Direct and Securitized Real Estate
AbstractThis study presents evidence of cointegration between securitized (NAREIT) and direct (NCREIF) real estate total return indices. Since the two real estate indices are cointegrated with one another but not with the stock market, REITs and direct real estate are likely to have similar long-term diversification benefits in a stock portfolio. Only direct real estate is found to currently adjust towards the cointegrating relation, with NAREIT returns leading NCREIF returns. However, the results show evidence of the predictability of NAREIT returns during the 1980s. Additionally, a large and long-lasting deviation from the long-run relation between NAREIT and NCREIF is identified at the beginning of the “new REIT era”.
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Bibliographic InfoArticle provided by American Real Estate Society in its journal journal of Real Estate Research.
Volume (Year): 33 (2011)
Issue (Month): 1 ()
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
Web page: http://www.aresnet.org/
Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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- Schindler, Felix & Kröncke, Tim-Alexander, 2011.
"International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk,"
Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis
48705, Verein für Socialpolitik / German Economic Association.
- Kroencke, Tim A. & Schindler, Felix, 2012. "International diversification with securitized real estate and the veiling glare from currency risk," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1851-1866.
- Kroencke, Tim Alexander & Schindler, Felix, 2011. "International diversification with securitized real estate and the veiling glare from currency risk," ZEW Discussion Papers 11-012, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- Hoesli, Martin & Oikarinen, Elias, 2012. "Are REITs real estate? Evidence from international sector level data," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1823-1850.
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