Author: Yuming Li and Ko Wang

Start Page: 471
End Page: 482
Volume: 10
Issue Number: 4
Year: 1995
Publication: Journal of Real Estate Research

Abstract: Recent research suggests that real estate returns are more predictable than the returns of other assets and that the real estate market is segmented from the general stock market. This study examines these two issues empirically using a multifactor asset pricing model that allows for time-varying risk premiums. The results indicate that, in a general two-factor asset pricing framework, the REIT market is integrated with the general stock market. Furthermore, no evidence can be found that REIT returns are more predictable than the returns of other stocks.