From Property Companies to Real Estate Investment Trusts: The Impact of Economic and Property Factors in the UK Commercial Property Returns

This study investigates cross-sectionally the impact of economic and property factors on the returns of UK property companies and real estate investment trusts. By applying structural time-series modelling and the Kalman Filter to obtain unexpected changes or innovations in selected economic and property variables it was found for the sample period analysed that economic and property variables influence commercial property returns in the UK. It was also found that by converting into REITS property companies quickly acquired hybrid features of securitised and property backed assets.