IDEAS home Printed from https://ideas.repec.org/a/taf/repmxx/v16y2010i3p227-239.html
   My bibliography  Save this article

REITs and Correlations with Other Asset Classes: A European Perspective

Author

Listed:
  • Jaakko Niskanen
  • Heidi Falkenbach

Abstract

Executive Summary. Long present in the United States, real estate investment trusts (REITs) are a fairly new phenomenon in Europe. This paper examines the sensitivity of European REIT returns to returns in other asset classes, including equities, bonds, and commodities. Consistent with previous studies, the results suggest that a significant positive correlation is observed between REITs and equities, especially small cap- and value stocks; REIT correlation to fixed income securities is found negative. Temporal variations in asset volatilities and their effect on correlations are assessed: The motivation is for investors and portfolio managers alike to incorporate the time-varying nature of the relationship in their decision making. Whereas the diversification benefits for equities decrease with increasing volatility, fixed income assets provide an increased hedge. The case of commodities in this sense remains to a large extent blurred.

Suggested Citation

  • Jaakko Niskanen & Heidi Falkenbach, 2010. "REITs and Correlations with Other Asset Classes: A European Perspective," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 16(3), pages 227-239, January.
    • Handle: RePEc:taf:repmxx:v:16:y:2010:i:3:p:227-239
    DOI: 10.1080/10835547.2010.12089877
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10835547.2010.12089877
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/10835547.2010.12089877?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Odusami, Babatunde O. & Akinsomi, Omokolade, 2024. "Diversifying and hedging REIT portfolios with cryptocurrencies: Evidence from global and regional REIT indices," International Review of Financial Analysis, Elsevier, vol. 94(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:repmxx:v:16:y:2010:i:3:p:227-239. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/repm20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.