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The Predictability of REIT Returns and Market Segmentatio

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Abstract

Recent research suggests that real estate returns are more predictable than the returns of other assets and that the real estate market is segmented from the general stock market. This study examines these two issues empirically using a multifactor asset pricing model that allows for time-varying risk premiums. The results indicate that, in a general two-factor asset pricing framework, the REIT market is integrated with the general stock market. Furthermore, no evidence can be found that REIT returns are more predictable than the returns of other stocks.

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  • Yuming Li & Ko Wang, 1995. "The Predictability of REIT Returns and Market Segmentatio," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 471-482.
  • Handle: RePEc:jre:issued:v:10:n:5:1994:p:471-482
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    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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