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An analysis of the relationship between US REIT returns

Author

Listed:
  • Hideki Nishigaki

    (Saitama University)

Abstract

This study analyses the long-term relationship between real estate investment trust (REIT) returns and house price in the US financial market. The relationship between REIT performance and house price or other financial variables represents important information for the risk management strategy of investors. Using a vector error correction model (VECM), the analysis found that in the long run, there exists a positive correlation between US equity REIT returns and house price. Our results reveal that if house prices in the US decline or the inflation index rises, the REIT performance will in the long run. Our empirical results also indicate that in recent years, there appears to be a stronger positive correlation between US equity REIT returns and house price.

Suggested Citation

  • Hideki Nishigaki, 2007. "An analysis of the relationship between US REIT returns," Economics Bulletin, AccessEcon, vol. 13(1), pages 1-7.
    • Handle: RePEc:ebl:ecbull:eb-07m20001
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    File URL: http://www.accessecon.com/pubs/EB/2007/Volume13/EB-07M20001A.pdf
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    References listed on IDEAS

    as
    1. Lu, Chiuling & So, Raymond W, 2001. "The Relationship between REITs Returns and Inflation: A Vector Error Correction Approach," Review of Quantitative Finance and Accounting, Springer, vol. 16(2), pages 103-115, March.
    2. Ewing, Bradley T. & Payne, James E., 2005. "The response of real estate investment trust returns to macroeconomic shocks," Journal of Business Research, Elsevier, vol. 58(3), pages 293-300, March.
    3. S. Michael Giliberto, 1990. "Equity Real Estate Investment Trusts and Real Estate Returns," Journal of Real Estate Research, American Real Estate Society, vol. 5(2), pages 259-264.
    4. Glascock, John L & Lu, Chiuling & So, Raymond W, 2000. "Further Evidence on the Integration of REIT, Bond, and Stock Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 20(2), pages 177-194, March.
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    Cited by:

    1. Ogonna Nneji & Charles Ward, 2011. "An investigation of bubble spillovers from the stock market and the residential property market to REITs," ERES eres2011_75, European Real Estate Society (ERES).

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    More about this item

    Keywords

    house price;

    JEL classification:

    • M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics

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