Abstract
Utilizing advanced asset pricing techniques, we investigate the long-term relation between the general economy, the broad equity market and Real Estate Investment Trusts (REITs). Both monetary and real economy factors, along with the stock market factor, are found to be determinants in REIT pricing. On a quarterly basis, we provide evidence that the REIT market is efficient in terms of incorporating information from the economy and the stock market. Furthermore, we test and find that REITs provide significant forward-looking information regarding the economy.
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