Are REIT Returns Hedgeable?

Youguo Liang · Michael Joseph Seiler · Arjun Chatrath

21 citations0/0 files storedJournal of Real Estate Research

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Risk Management in Financial Firms

Abstract

This study examines the ability of existing futures contracts to hedge the returns on real estate investment trusts (REITs). The results from various hedging strategies suggest that existing futures contracts do not provide the means to effectively hedge REIT returns. REITs could remain unhedgeable until futures contracts written specifically on REITs are developed.

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1992The predictability of returns on equity REITs and their co-movement with other assets 1986Risk and the Performance of Real Estate Investment Trusts: A Multiple Index Approach 1988Owner-occupied homes, income-producing properties, and REITs as inflation hedges: Empirical findings 1988Interest-Rate Sensitivity of Real Estate Investment Trusts 1995The Historical Performance of Real Estate Investment Trusts 1990Are REITs inflation hedges?1985Hedging with stock index futures: Theory and application in a new market 1993Measuring Real Estate Returns

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