Glascock, John L; Lu, Chiuling; So, Raymond W - In: The Journal of Real Estate Finance and Economics 20 (2000) 2, pp. 177-94
This study examines the integration of REIT, bond, and stock returns. Cointegration and vector autoregressive models are employed to explore the causality and long-run economic linkages among these securities. Our results show that REITs behave more like stocks and less like bonds after the...