TY - JOUR
T1 - The long-run dynamics between direct and securitized real estate
AU - Hoesli, Martin Edward Ralph
AU - Oikarinen, E.
AU - Serrano, C.
PY - 2011
Y1 - 2011
N2 - 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."
AB - 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."
U2 - 10.5555/rees.33.1.vr5g6970034l5g88
DO - 10.5555/rees.33.1.vr5g6970034l5g88
M3 - Article
SN - 0896-5803
VL - 33
SP - 73
EP - 103
JO - Journal of Real Estate Research
JF - Journal of Real Estate Research
IS - 1
ER -