Despite its importance to our national wealth, real estate remains a relatively unstudied asset. A key reason for this is the perceived limitations of available return data. Most research in the area relies on the appraisal-based series such as the Frank Russell Company (FRC) index. This paper...

This paper employs stock market-based data to examine the systematic risk and diversification properties of publicly traded equity real estate investment trusts (REITs). A unique data sample is created by combining firm return data with information on their property type holdings and the...

This paper analyzes the risks and returns of different types of real estate-related firms trade on the New York and American stock exchanges (NYSE and AMEX). We investigate the relation of real estate stock portfolio returns with returns on a standard appraisal-based index, and find that lagged...