A1 Vertaisarvioitu alkuperäisartikkeli tieteellisessä lehdessä
The Long-Run Dynamics between Direct and Securitized Real Estate
Tekijät: Oikarinen E, Hoesli M, Serrano C
Kustantaja: AMER REAL ESTATE SOC
Julkaisuvuosi: 2011
Journal: Journal of Real Estate Research
Tietokannassa oleva lehden nimi: JOURNAL OF REAL ESTATE RESEARCH
Lehden akronyymi: J REAL ESTATE RES
Numero sarjassa: 1
Vuosikerta: 33
Numero: 1
Aloitussivu: 73
Lopetussivu: 103
Sivujen määrä: 31
ISSN: 0896-5803
Tiivistelmä
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, real estate investment trusts (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."
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, real estate investment trusts (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."
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