The Journal of Real Estate Finance and Economics

, 36:165

First online:

Real Estate Risk Exposure of Equity Real Estate Investment Trusts

  • Ming-Long LeeAffiliated withDepartment of Finance, College of Management, National Yunlin University of Science and Technology Email author 
  • , Ming-Te LeeAffiliated withDepartment of Finance, Yuan Ze University
  • , Kevin C. H. ChiangAffiliated withSchool of Business Administration, University of Vermont

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This study examines the linkage between equity real estate investment trust (REIT) returns and the private real estate factor. The results reveal a tighter connection between REIT and the private real estate market starting from 1993. In addition, large-cap REITs seem to behave more like real estate than do small-cap REITs. Overall, the results are consistent with three notions: (1) that institutional investors provide information-gathering services (Bradrinath et al., Rev. Financ. Stud., 8:401–430, 1995), (2) that a more sophisticated investor base improves information flow, and (3) that a high degree of participation from institutional investors strengthens the linkage between REIT returns and the underlying real estate factor (Ziering et al., The evolution of public and private market investing in the new real estate capital markets, Prudential Real Estate Investors, Parsippany, NJ, 1997).


REIT Real estate Asset pricing Real estate factor