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Dynamic Correlations across REIT Sub-Sectors

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Author Info

  • James Chong

    (California State University-Northridge)

  • Alexandra Krystalogianni

    (Schroders Property Investment)

  • Simon Stevenson

    ()
    (School of Real Estate & Planning, Henley Business School, University of Reading)

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    Abstract

    The issue of whether Real Estate Investment Trusts should pursue a focused or diversified investment strategy remains an ongoing debate within both the academic and industry communities. This paper considers the relationship between REITs focused on different property sectors in a GARCH-DCC framework. The daily conditional correlations reveal that since 1990 there has been a marked upward trend in the coefficients between US REIT sub-sectors. The findings imply that REITs are behaving in a far more homogeneous manner than in the past. Furthermore, the argument that REITs should be focused in order that investors can make the diversification decision is reduced.

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    File URL: http://www.reading.ac.uk/REP/fulltxt/0411.pdf
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    Bibliographic Info

    Paper provided by Henley Business School, Reading University in its series Real Estate & Planning Working Papers with number rep-wp2011-07.

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    Length: 38 pages
    Date of creation:
    Date of revision:
    Handle: RePEc:rdg:repxwp:rep-wp2011-07

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    Postal: PO Box 218, Whiteknights, Reading, Berks, RG6 6AA
    Phone: +44 (0) 118 378 8226
    Fax: +44 (0) 118 975 0236
    Web page: http://www.henley.reading.ac.uk/
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    References

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