This paper examines whether the predictability of securitized real estate returns differs from that of stock returns. It also provides a crosscountry comparison of securitized real estate return redictability. In contrast to most of the literature on this issue, the analysis is not based on a...

Contemporaneous correlation between the returns of direct and indirect real estate investments is generally found to be weak. However, direct and securitized real estate returns are expected to be cointegrated over the long run, since securitized real estate returns are derived from direct real...

We use sector level REIT and transaction-based direct real estate data for the period 1994-2010 to provide a clearer understanding of the dynamic relations between public and private real estate returns. We add leverage to private returns to make the private data more comparable with the REIT...

This paper contributes to the literature by identifying the response patterns of direct and indirect real estate returns to shocks in the market fundamentals. The response speeds are estimated with vector autoregressive models using TBI and NAREIT returns for the period 1994-2009 in the United...