Are REITs income stocks, only? Following Myers (1977) and Bernardo et al.(2007), we
examine empirically REITs' unlevered betas, betas of growth options, betas of assets-in …

This study estimates the time-varying REIT betas with a structural time series model using
monthly REIT return data for the periods from 1972 to 2013. Based on the FTSE-NAREIT …

Purpose–The US real estate investment trust (REIT) market experienced a structural change
in the early 1990s. This paper aims to examine the following two issues: is the equity REIT …

The consensus that emerges from the current research on the linkage between securitized
and direct investment in real estate is that direct (private) real estate returns play a relatively …

This paper examines the link between REIT, financial asset and real estate returns, and tests
whether it changed subsequent to the “REIT boom” of the early 1990s. The main focus is on …

Purpose The aim of this study is to examine real estate investment trust exchange-traded
funds (REIT ETFs) and test for the existence of the “asymmetric beta puzzle” phenomenon in …

This study employs a variance decomposition approach to explore the investment
characteristics of equity REITs within a multi‐factor model relating REIT returns to returns to …

Purpose This paper examines the evolution and impact of property development activities
on REIT performance. The paper provides insights on whether REITs should venture into …

REITs are attractive to investors due to their unique characteristics such as high dividend
yields, low correlation with common stocks, and a potential hedge against inflation. Thus the …

Recent investigations into the behavior of real estate investment trusts (REITs) point to an
asymmetric relationship between the returns of REITs and those of the general market …