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Dynamic correlations across REIT sub-sectors

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Chong, J., Krystalogianni, A. and Stevenson, S., (2011) Dynamic correlations across REIT sub-sectors. Working Papers in Real Estate & Planning. 04/11. Working Paper. University of Reading, Reading. pp38.

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Abstract/Summary

The issue of whether Real Estate Investment Trusts should pursue a focused or diversified investment strategy remains an ongoing debate within both the academic and industry communities. This paper considers the relationship between REITs focused on different property sectors in a GARCH-DCC framework. The daily conditional correlations reveal that since 1990 there has been a marked upward trend in the coefficients between US REIT sub-sectors. The findings imply that REITs are behaving in a far more homogeneous manner than in the past. Furthermore, the argument that REITs should be focused in order that investors can make the diversification decision is reduced.

Item Type:Report (Working Paper)
Divisions:Henley Business School > Real Estate and Planning
ID Code:26973
Publisher:University of Reading
Publisher Statement:The copyright of each working paper remains with the author. If you wish to quote from or cite any paper please contact the appropriate author; in some cases a more recent version of the paper may have been published elsewhere.

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