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A Note on REIT Returns and the Case-Shiller Home Price Index

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  • Michael J. Highfield
  • Kaustav Misra
  • Arif Qayyum
  • Charod Dodd

Abstract

In this note, we examine the relationship between real estate investment trust (REIT) returns and the Case-Shiller Home Price Index using panel data on 159 unique REITs over the 25-year period of 1989–2013. Although the literature provides conflicting evidence, after controlling for inflation, financial risk, size, and property focus, our empirical results suggest that a strong positive correlation exists between the Case-Shiller Home Price Index and REIT returns. While additional research is needed, these findings certainly have implications for investors utilizing REITs to obtain real estate portfolio diversification.

Suggested Citation

  • Michael J. Highfield & Kaustav Misra & Arif Qayyum & Charod Dodd, 2015. "A Note on REIT Returns and the Case-Shiller Home Price Index," Journal of Real Estate Practice and Education, Taylor & Francis Journals, vol. 18(1), pages 77-86, January.
    • Handle: RePEc:taf:rjrpxx:v:18:y:2015:i:1:p:77-86
    DOI: 10.1080/10835547.2015.12091744
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