The Journal of Real Estate Finance and Economics

, 36:165

Real Estate Risk Exposure of Equity Real Estate Investment Trusts

Article

DOI: 10.1007/s11146-007-9058-2

Cite this article as:
Lee, ML., Lee, MT. & Chiang, K.C.H. J Real Estate Finan Econ (2008) 36: 165. doi:10.1007/s11146-007-9058-2

Abstract

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).

Keywords

REITReal estateAsset pricingReal estate factor

Copyright information

© Springer Science+Business Media, LLC 2007

Authors and Affiliations

  • Ming-Long Lee
    • 1
  • Ming-Te Lee
    • 2
  • Kevin C. H. Chiang
    • 3
  1. 1.Department of Finance, College of ManagementNational Yunlin University of Science and TechnologyDouliouTaiwan
  2. 2.Department of FinanceYuan Ze UniversityTaoyuanTaiwan
  3. 3.School of Business AdministrationUniversity of VermontBurlingtonUSA