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The Performance of REITs in Advancing and Declining Markets Revisited

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  • Stephen Lee

Abstract

The purpose of this paper is to examine the risk-adjusted performance of EREITS and MREITs in advancing (bull) and declining (bear) markets. Fabozzi and Francis (1977) stress however that no one definition of advancing (bull) and declining (bear) exists therefore we use a number of different definitions. The empirical findings show that the risk-adjusted performance EREITs and MREITs differs in the phases of the market. Conclusions that continue to hold under the alternative definitions of advancing and declining markets. Although, advancing and declining markets were evaluated ex-post, the finding that the risk-adjusted performance of EREITs and MREITs perform differently in different phases of the market is of significant importance for the decision-making of portfolio management.

Suggested Citation

  • Stephen Lee, 2018. "The Performance of REITs in Advancing and Declining Markets Revisited," ERES eres2018_216, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2018_216
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    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2018-216
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    More about this item

    Keywords

    Advancing; Declining; EREITs; Factor Models; MREITs;
    All these keywords.

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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