Type

Working Paper

Authors

Richard Roll
John Cotter

Subjects

Economics

Topics
reits risks residential risk econometric models comparative indexes real estate investment trusts anatomy

A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics (2009)

Abstract Real Estate Investment Trusts (REITs) are the only truly liquid assets related to real estate investments. We study the behavior of U.S. REITs over the past three decades and document their return characteristics. REITs have somewhat less market risk than equity; their betas against a broad market index average about .65. Decomposing their covariances into principal components reveals several strong factors. REIT characteristics differ to some extent from those of the S&P/Case-Shiller (SCS) residential real estate indexes. This is partly attributable to methods of index construction. Our examination of REITs suggests that investment in real estate is far more risky than what might be inferred from the widely-followed SCS series.
Collections Ireland -> University College Dublin -> School of Business
Ireland -> University College Dublin -> Centre for Financial Markets Working Papers
Ireland -> University College Dublin -> College of Business

Full list of authors on original publication

Richard Roll, John Cotter

Experts in our system

1
Richard Roll
University College Dublin
Total Publications: 5
 
2
John Cotter
University College Dublin
Total Publications: 93