IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Real Estate Risk and the Business Cycle: Evidence from Security Markets

This study reports on the ex-post performance of survivor REITs and RECs over a 14.5-year period covering several business cycles. The results show that the systematic risk and risk-adjusted returns of REITs and RECs are quite different, especially during periods of low growth in real GNP. Relative to the overall stock market, survivor REITs, in particular, equity REITs, exhibited less volatility and higher returns than previous studies revealed. This can be explained by the higher returns, lower volatility, and lower systematic risk of REITs in periods of high growth in real GNP which have dominated the 1980s. The results expand our understanding of the true volatility of real estate, highlighting, at the same time, the need for further research to better understand the relationship between the performance of equity REIT securities and the underlying real estate assets in their portfolios.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
File Function: Full text
Download Restriction: no

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

Volume (Year): 5 (1990)
Issue (Month): 2 ()
Pages: 203-220

in new window

Handle: RePEc:jre:issued:v:5:n:2:1990:p:203-220
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

Web page:

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

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

in new window

  1. Joe Peek & Eric S. Rosengren, 1988. "The stock market and economic activity," New England Economic Review, Federal Reserve Bank of Boston, issue May, pages 39-50.
  2. James L. Kuhle & Carl H. Walther & Charles H. Wurtzebach, 1986. "The Financial Performance of Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 1(1), pages 67-75.
  3. Michael E. Solt & Norman G. Miller, 1985. "Managerial Incentives: Implications for the Financial Performance of Real Estate Investment Trusts," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 13(4), pages 404-423.
  4. Sheridan Titman & Arthur Warga, 1986. "Risk and the Performance of Real Estate Investment Trusts: A Multiple Index Approach," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 14(3), pages 414-431.
  5. Mike Miles & Tom Mc Cue, 1982. "Historic Returns and Institutional Real Estate Portfolios," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 10(2), pages 184-199.
  6. Leo Grebler & Leland S. Burns, 1982. "Construction Cycles in the United States Since World War II," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 10(2), pages 123-151.
  7. Patel, Raman C. & Olsen, Robert A., 1984. "Financial determinants of systematic risk in real estate investment trusts," Journal of Business Research, Elsevier, vol. 12(4), pages 481-491, December.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:jre:issued:v:5:n:2:1990:p:203-220. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (JRER Graduate Assistant/Webmaster)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.