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| dc.contributor.author | Cotter, John | |
| dc.contributor.author | Roll, Richard | |
| dc.date.accessioned | 2010-11-22T12:34:32Z | |
| dc.date.available | 2010-11-22T12:34:32Z | |
| dc.date.issued | 2009-10-28 | |
| dc.identifier.uri | http://hdl.handle.net/10197/2563 | |
| dc.description.abstract | Real Estate Investment Trusts (REITs) are the only truly liquid assets related to real estate investments. We study the behavior of U.S. REITs over the past three decades and document their return characteristics. REITs have somewhat less market risk than equity; their betas against a broad market index average about .65. Decomposing their covariances into principal components reveals several strong factors. REIT characteristics differ to some extent from those of the S&P/Case-Shiller (SCS) residential real estate indexes. This is partly attributable to methods of index construction. Our examination of REITs suggests that investment in real estate is far more risky than what might be inferred from the widely-followed SCS series. | en |
| dc.description.sponsorship | Not applicable | en |
| dc.format.extent | 398767 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.language.iso | en | en |
| dc.publisher | University College Dublin. School of Business. Centre for Financial Markets | en |
| dc.publisher | University College Dublin. Geary Institute | |
| dc.relation.ispartofseries | Centre for Financial Markets working paper series | en |
| dc.relation.ispartofseries | WP 10 02 | en |
| dc.relation.ispartofseries | UCD Geary Institute Discussion Paper Series | |
| dc.relation.ispartofseries | WP 10 08 | |
| dc.relation.requires | Economists Online Collection | en |
| dc.subject.lcsh | Real estate investment trusts | |
| dc.subject.lcsh | Risk--Econometric models | |
| dc.title | A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics | en |
| dc.type | Working Paper | en |
| dc.internal.availability | Full text available | |
| dc.internal.webversions | Publisher's version | |
| dc.internal.webversions | http://www.ucd.ie/bankingfinance/docs/wp/WP-10-02.pdf | |
| dc.status | Not peer reviewed | en |
| dc.neeo.contributor | Cotter|John|aut|UCD0043 | en |
| dc.neeo.contributor | Roll|Richard|aut| | en |
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