A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics

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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 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dc.status Not peer reviewed en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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