Dynamic correlations across REIT sub-sectors

Chong, J., Krystalogianni, A. and Stevenson, S., (2011) Dynamic correlations across REIT sub-sectors. Working Papers in Real Estate & Planning. 04/11. Working Paper. University of Reading, Reading. pp38.

Abstract/Summary

The issue of whether Real Estate Investment Trusts should pursue a focused or diversified investment strategy remains an ongoing debate within both the academic and industry communities. This paper considers the relationship between REITs focused on different property sectors in a GARCH-DCC framework. The daily conditional correlations reveal that since 1990 there has been a marked upward trend in the coefficients between US REIT sub-sectors. The findings imply that REITs are behaving in a far more homogeneous manner than in the past. Furthermore, the argument that REITs should be focused in order that investors can make the diversification decision is reduced.

Item Type	Report (Working Paper)
URI	https://reading-clone.eprints-hosting.org/id/eprint/26973
Item Type	Report
Divisions	Henley Business School > Real Estate and Planning
Publisher	University of Reading
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