Work

Substitutability between Equity REITs and Mortgage REITs

Year: 2004

Type: article

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.

Source: Journal of Real Estate Research

DOI: 10.1080/10835547.2004.12091130

Authors: Ming-Long Lee, Kevin Chiang

Institutions: National Yunlin University of Science and Technology, Louisiana State University, University of Alaska Fairbanks

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1582194935

FWCI: 1.737

Cites: 17

Cited by: 39

Related to: 10