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Substitutability between Equity REITs and Mortgage REITs

Listed author(s):
  • Ming-Long Lee


    (National Yulin University of Science and Technology, Touliu, Yulin, Taiwan 640)

  • Kevin C.H. Chiang


    (University of Alaska Fairbanks, Fairbanks, AK 99775)

Registered author(s):

    This study extends Seck’s (1996) approach to investigate the degree of substitutability between equity real estate investment trusts (EREITs) and mortgage real estate investment trusts (MREITs). The variance ratio test and the variance decomposition of forecast errors yield results indicating the existence of informational commonality between EREITs and MREITs. The findings indicate that the two types of REITs are substitutable. A direct implication is that investors who believe they have superior forecasting ability will be indifferent to invest in either type of REIT. Another implication is that REITs can be treated as a single asset class in constructing a diversified multi-asset portfolio.

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    Article provided by American Real Estate Society in its journal Journal of Real Estate Research.

    Volume (Year): 26 (2004)
    Issue (Month): 1 ()
    Pages: 95-114

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    Handle: RePEc:jre:issued:v:26:n:1:2004:p:95-114
    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

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    Order Information: Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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