IDEAS home Printed from https://ideas.repec.org/a/taf/repmxx/v4y1998i1p69-78.html
   My bibliography  Save this article

REIT Style and Performance

Author

Listed:
  • Youguo Liang
  • Willard McIntosh

Abstract

Executive Summary. Applying a performance style model developed by Sharpe, we investigate the style and performance of real estate investment trusts from March 1984 through December 1997. Total returns of the S&P 500, S&P MidCap 400, S&P SmallCap 600, Lehman Brothers' government bond index, and Salomon Brothers' three-month Treasury bill index are used to replicate the performance of all REIT, equity REIT and mortgage REIT portfolios. We find that all REITs and equity REITs have remarkably stable style attributes over time: they behave similarly to a portfolio of 40% small capitalization stocks and 60% bonds (including Treasury bills). The behavior of mortgage REITs, however, has been more erratic. Sharpe's alpha, a performance measure similar to Jensen's alpha, indicates that equity REITs performed approximately at par to its style portfolio prior to 1994 and has dramatically outperformed its style portfolio since then. All REITs and mortgage REITs that underperformed at first, outperformed their respective style portfolios in recent years. REITs, in general, have become more “unique” as the R-squared value of the Sharpe model has declined dramatically over the last five years for all REITs as well as equity REITs.

Suggested Citation

  • Youguo Liang & Willard McIntosh, 1998. "REIT Style and Performance," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 4(1), pages 69-78, January.
    • Handle: RePEc:taf:repmxx:v:4:y:1998:i:1:p:69-78
    DOI: 10.1080/10835547.1998.12089552
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10835547.1998.12089552
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/10835547.1998.12089552?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.

    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:4:y:1998:i:1:p:69-78. 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.