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The Long-Run Dynamics between Direct and Securitized Real Estate


  • Elias Oikarinen

    () (Turku School of Economics)

  • Martin Hoesli

    () (University of Geneva)

  • Camilo Serrano

    () (IAZI AG – CIFI SA)


This study presents evidence of cointegration between securitized (NAREIT) and direct (NCREIF) real estate total return indices. Since the two real estate indices are cointegrated with one another but not with the stock market, REITs and direct real estate are likely to have similar long-term diversification benefits in a stock portfolio. Only direct real estate is found to currently adjust towards the cointegrating relation, with NAREIT returns leading NCREIF returns. However, the results show evidence of the predictability of NAREIT returns during the 1980s. Additionally, a large and long-lasting deviation from the long-run relation between NAREIT and NCREIF is identified at the beginning of the “new REIT era†.

Suggested Citation

  • Elias Oikarinen & Martin Hoesli & Camilo Serrano, 2011. "The Long-Run Dynamics between Direct and Securitized Real Estate," Journal of Real Estate Research, American Real Estate Society, vol. 33(1), pages 73-104.
  • Handle: RePEc:jre:issued:v:33:n:1:2011:p:73-104

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    JEL classification:

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


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