The Predictability of REIT Returns and Market Segmentatio
A two-factor regression model was used to examine the relationship between returns on healthcare equity REITs (EREITs) and healthcare stocks from 1985 to 1992. General stock indices were incorporated in the model to account for the influence of the market. Multiple positive contemporaneous relationships were found between six of the seven REITs studied and portfolios of other healthcare stocks. Furthermore, in four of the six REITs with positive results, significant correlations were evident between individual REIT portfolios and the SIC indices with which they showed a significant relationship. These results are consistent with a common factor or factors affecting the returns of both healthcare EREITs and stocks. The relationships found between returns on healthcare EREITs and healthcare stocks, especially the correlation between the classification of the EREIT portfolios and SIC indices, indicate the importance of real estate management for healthcare firms and asset subclassification choice for the real estate manager. Although this study specifically investigated healthcare EREITs and healthcare stocks, the results may be more widely applicable to other single-property-type EREITs.
Volume (Year): 10 (1995)
Issue (Month): 4 ()
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- Joseph Gyourko & Edward Nelling, .
"Systematic Risk and Diversification in the Equity REIT Market,"
Rodney L. White Center for Financial Research Working Papers
11-94, Wharton School Rodney L. White Center for Financial Research.
- Joseph Gyourko & Edward Nelling, 1996. "Systematic Risk and Diversification in the Equity REIT Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 24(4), pages 493-515.
- Joseph Gyourko & Donald B. Keim, 1992. "What Does the Stock Market Tell Us About Real Estate Returns?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 20(3), pages 457-485.
- Joseph Gyourko & Donald B. Keim, . "What Does the Stock Market Tell Us About Real Estate Returns? (Revision of 18-91) (Reprint 030)," Rodney L. White Center for Financial Research Working Papers 11-92, Wharton School Rodney L. White Center for Financial Research.
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