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Are REIT Returns Hedgeable?

Author

Listed:
  • Youguo Liang
  • Michael Seiler
  • Arjun Chatrath

Abstract

This study examines the ability of existing futures contracts to hedge the returns on real estate investment trusts (REITs). The results from various hedging strategies suggest that existing futures contracts do not provide the means to effectively hedge REIT returns. REITs could remain unhedgeable until futures contracts written specifically on REITs are developed.

Suggested Citation

  • Youguo Liang & Michael Seiler & Arjun Chatrath, 1998. "Are REIT Returns Hedgeable?," Journal of Real Estate Research, Taylor & Francis Journals, vol. 16(1), pages 87-98, January.
    • Handle: RePEc:taf:rjerxx:v:16:y:1998:i:1:p:87-98
    DOI: 10.1080/10835547.1998.12090933
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    Cited by:

    1. Emily Zietz & Stacy Sirmans & Swint Friday, 2003. "The Environment and Performance of Real Estate Investment Trusts," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 9(2), pages 127-165, January.
    2. Emmanuel Anoruo, 2019. "Asymmetric Causality Analysis of the Interactions Between Gold and REIT Returns," International Real Estate Review, Global Social Science Institute, vol. 22(4), pages 513-534.
    3. Simon Stevenson, 2000. "International Real Estate Diversification: Empirical Tests using Hedged Indices," Journal of Real Estate Research, American Real Estate Society, vol. 19(1), pages 105-131.
    4. Mahamitra Das & Nityananda Sarkar, 2020. "Revisiting the Anomalous Relationship between Inflation and Real Estate Investment Trust Returns in Presence of Structural Breaks: Empirical Evidence from the USA and the UK," International Journal of Economics and Financial Issues, Econjournals, vol. 10(1), pages 250-258.
    5. Das, Mahamitra & Sarkar, Nityananda, 2017. "Re-investigating the anomalous relationship between inflation and equity REIT returns: A regime-switching approach," MPRA Paper 95135, University Library of Munich, Germany, revised 05 Nov 2018.
    6. Das, Mahamitra & Sarkar, Nityananda, 2019. "Revisiting the Anomalous Relationship between Inflation and REIT Returns in Presence of Structural Breaks: Empirical Evidence from the USA and the UK," MPRA Paper 95130, University Library of Munich, Germany, revised 05 Nov 2019.
    7. Shi, Jing & Xu, Tracy, 2013. "Price and volatility dynamics between securitized real estate spot and futures markets," Economic Modelling, Elsevier, vol. 35(C), pages 582-592.
    8. Das, Mahamitra & Kundu, Srikanta & Sarkar, Nityananda, 2019. "Mean and Volatility Spillovers between REIT and Stocks Returns A STVAR-BTGARCH-M Model," MPRA Paper 94707, University Library of Munich, Germany.
    9. Chyi Lee & Simon Stevenson & Ming-Long Lee, 2014. "Futures Trading, Spot Price Volatility and Market Efficiency: Evidence from European Real Estate Securities Futures," The Journal of Real Estate Finance and Economics, Springer, vol. 48(2), pages 299-322, February.

    More about this item

    JEL classification:

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

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