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Conditional Correlations and Real Estate Investment Trusts

Author

Listed:
  • Simon Stevenson
  • James Chong
  • Jo Miffre
  • James Chong
  • Joelle Miffre

Abstract

The paper studies the conditional risk premia and volatilities in the Real Estate Investment Trust sector. In particular, the conditional correlations of REITs are estimated against a variety of equity and bond series. The paper builds upon recent work in the REIT literature to have examined the dynamics of the sector. A growing number of papers have examined the volatility characteristics of the sector. The data used in this paper consists of daily returns for the period January 1 1990 through December 30 2005 totalling 4175 observations. During this time the popularity of REITS has expanded dramatically with massive growth in investor awareness and interest focusing in on the return and volatility characteristics of the sector. The analysis is conducted using a bivariate GARCH framework. The risk premia for REITs are estimated and the conditional correlations against a variety of equity and bond sectors. Domestic equity sectors representing large cap, small cap, value and growth stocks are analyzed together with international equity markets. In relation to bonds both the Treasury and corporate markets are analyzed, with a variety of maturities analysed.

Suggested Citation

  • Simon Stevenson & James Chong & Jo Miffre & James Chong & Joelle Miffre, 2007. "Conditional Correlations and Real Estate Investment Trusts," ERES eres2007_345, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2007_345
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    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2007-345
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    More about this item

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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