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...

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...