Articlegreen2004

Substitutability between Equity REITs and Mortgage REITs

39 citations0/0 files storedJournal of Real Estate Research

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

Abstract

This study extends Seck's (1996) approach to investigate the degree of substitutability between equity real estate investment trusts (EREITs) and mortgage real estate investment trusts (MREITs). The variance ratio test and the variance decomposition of forecast errors yield results indicating the existence of informational commonality between EREITs and MREITs. The findings indicate that the two types of REITs are substitutable. A direct implication is that investors who believe they have superior forecasting ability will be indifferent to invest in either type of REIT. Another implication is that REITs can be treated as a single asset class in constructing a diversified multi-asset portfolio.

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References

1993Common risk factors in the returns on stocks and bonds 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1988How Big Is the Random Walk in GNP?1989The size and power of the variance ratio test in finite samples 1992What Does the Stock Market Tell Us About Real Estate Returns?1990Risk and Return on Real Estate: Evidence from Equity REITs 2000Further Evidence on the Integration of REIT, Bond, and Stock Returns 2001Momentum, Business Cycle and Time Varying Expected Returns

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2017The walking debt crisis 2010The Changing Benefit of REITs to the Mixed-Asset Portfolio 2012Returns transmission, value at risk, and diversification benefits in international REITs: evidence from the financial crisis

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