Abstract
Executive Summary. This paper extends the evidence on the financial performance of real estate investment trusts (REITs) by analyzing whether U.S. REIT index returns are impacted by other domestic firms that primarily engage in real estate activities but are not structured as REITs such as real estate operating companies (REOCs) and mortgage finance companies (MFCs). There is strong evidence that U.S. REITs are impacted by these other firms engaged in mortgage financing activities; thus underscoring the linkages between the overall capital markets and real estate performance. These results can be attributed to the changing dynamics of the real estate sector and its significant interrelationships. The findings have strong implications for constructing mixed-asset investment portfolios.
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