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REIT Property-Type Sector Integration

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Abstract

Equity real estate investment trust (REITs) grouped by property-type sectors have become more integrated over the 1989 to 1998 period as evidenced by increasing correlation over time. Specifically, six pairs of equity REITs grouped as having predominantly apartment, industrial, office and retail properties in their portfolios were examined for correlations of rolling sixty-month returns. Property-type-specific equity REIT portfolios showed a similar trend in rolling sixty-month return correlations, but at generally lower levels than randomly-generated property-type-neutral portfolios. When correlations of property-type-specific portfolios differed statistically from property-type-neutral sample portfolios, the average monthly return differences were not found to be statistically significant.

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  • Michael S. Young, 2000. "REIT Property-Type Sector Integration," Journal of Real Estate Research, American Real Estate Society, vol. 19(1), pages 3-21.
    • Handle: RePEc:jre:issued:v:19:n:1:2000:p:3-21
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    1. Joseph Gyourko & Edward Nelling, 1996. "Systematic Risk and Diversification in the Equity REIT Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 24(4), pages 493-515, December.
    2. Su Han Chan & Wai Kin Leung & Ko Wang, 1998. "Institutional Investment in REITs: Evidence and Implications," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 357-374.
    3. Graff, Richard A & Young, Michael S, 1996. "Real Estate Return Correlations: Real-World Limitations on Relationships Inferred from NCREIF Data," The Journal of Real Estate Finance and Economics, Springer, vol. 13(2), pages 121-142, September.
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    5. Richard A. Graff & Michael S. Young, 1997. "Serial Persistence in Equity REIT Returns," Journal of Real Estate Research, American Real Estate Society, vol. 14(3), pages 183-214.
    6. Young, Michael S & Graff, Richard A, 1995. "Real Estate Is Not Normal: A Fresh Look at Real Estate Return Distributions," The Journal of Real Estate Finance and Economics, Springer, vol. 10(3), pages 225-259, May.
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    Cited by:

    1. Bradford Case & Yawei Yang & Yildiray Yildirim, 2012. "Dynamic Correlations Among Asset Classes: REIT and Stock Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 298-318, April.
    2. Devaney, Michael, 2012. "Financial crisis, REIT short-sell restrictions and event induced volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(2), pages 219-226.
    3. Marisa Gigante, 2012. "The incidence of real estate portfolio composition choices on funds performance: Evicence from the Italian market," ERES eres2012_186, European Real Estate Society (ERES).
    4. Viktoriya Lantushenko & Edward Nelling, 2020. "Active Management in Real Estate Mutual Funds," The Journal of Real Estate Finance and Economics, Springer, vol. 61(2), pages 247-274, August.
    5. James Chong & Alexandra Krystalogianni & Simon Stevenson, "undated". "Dynamic Correlations across REIT Sub-Sectors," Real Estate & Planning Working Papers rep-wp2011-07, Henley Business School, University of Reading.
    6. Michael S. Young & Susan Annis, 2002. "Performance Attributions: Pure Theory Meets Messy Reality," Journal of Real Estate Research, American Real Estate Society, vol. 23(1/2), pages 3-28.
    7. Paul Gallimore & J. Andrew Hansz & Wikrom Prombutr & Ying Zhang, 2014. "Long-term Cointegrative and Short-term Causal Relations among U.S. Real Estate Sectors," International Real Estate Review, Asian Real Estate Society, vol. 17(3), pages 359-394.
    8. João da Rocha Lima & Cláudio Tavares de Alencar, 2006. "Os Atributos Do Mercado Brasileiro De Empreendimentos De Base Imobiliária Para Captar Recursos De Investidores Estrangeiros," LARES lares_2006_artigo-claudio, Latin American Real Estate Society (LARES).
    9. Paul Gallimore & J. Andrew Hansz & Wikrom Prombutr & Ying Zhang, 2014. "Long-term Cointegrative and Short-term Causal Relations among U.S. Real Estate Sectors," International Real Estate Review, Global Social Science Institute, vol. 17(3), pages 359-394.
    10. James Chong & Alexandra Krystalogianni & Simon Stevenson, 2012. "Dynamic correlations between REIT sub-sectors and the implications for diversification," Applied Financial Economics, Taylor & Francis Journals, vol. 22(13), pages 1089-1109, July.
    11. Nafeesa Yunus, 2013. "Dynamic interactions among property types," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 31(2), pages 135-159, March.

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    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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