Abstract
The behavior of real estate investment trust (REIT) returns and REIT return volatility is a key topic in the real estate literature. Various studies concentrate on the return generating process of REITs. Chui et al. (2003), for instance, examine the cross-sectional determinants of expected REIT returns. Hsieh and Peterson (1997) find that risk premiums on equity REITs are related to their market capitalization and the book to market ratio. Clayton and MacKinnon (2003) analyze the link between REIT prices and the value of direct real estate owned by REITs.
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