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| Equity Real Estate Investment
Trusts and Real Estate Returns Author: S. Michael Giliberto Start Page: 259 Abstract: Some investors view
equity real estate investment trusts (EREITs) as partial substitutes for conventional real
estate investments, although the correlation between EREIT and real estate returns is
insignificant. However, this study finds that the residuals from regressions of both real
estate series on financial asset returns are significantly correlated. This supports the
notion that there is a common factor (or factors) associated with real estate that affects
both sets of returns. In addition, lagged values of the EREIT residuals help explain
variations in the conventional unsecuritized real estate return residuals. |
