Further evidence on the integration of REIT, bond, and stock returns
Journal
Journal of Real Estate Finance and Economics
Journal Volume
20
Journal Issue
2
Pages
177
Date Issued
2000
Author(s)
Abstract
This study examines the integration of REIT, bond, and stock returns. Cointegration and vector autoregressive models are employed to explore the causality and long-run economic linkages among these securities. Our results show that REITs behave more like stocks and less like bonds after the structural changes in the early 1990s. Overall, results suggest that the benefits of diversification by including REITs in multiasset portfolios diminish after 1992.
Subjects
real estate investment trust; bond market; stock market; and cointegration
Publisher
KLUWER ACADEMIC PUBL
Type
journal article