Abstract
Executive Summary. Linkages between real estate investment trusts (REITs) and other assets are empirically analyzed. Using methodologies that account for idiosyncrasies in the data, evidence of linkages between REITs and several of these assets is found. For instance, at least two cointegrating vectors are found between equity REITs and energy-related assets. The findings have implications for hedging strategies, particularly in the long run. For example, the presence of cointegration between REITs and these assets provide investors with crosshedging opportunities, especially if markets differ in liquidity. Furthermore, it creates diversification possibilities for the assets that do not have linkage with REITs.
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