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Presentation
Do EREIT Returns Measure Real Estate Returns?
American Real Estate and Urban Economics Association (1996)
  • Steven E. Moss, Georgia Southern University
Abstract
Tests for correlation between the NCREIF (NC) Index and EREIT Index. A multiple time series methodology is used to control for spurious correlation, allow for leading and lagging relationships, and to control for autoregressive moving average processes found in the time series. The underlying variables generating returns for the investor, current cash flow and capital appreciation, are analysed separately. Significant correlation is found between the NC cash flows and EREIT dividends. Significant correlation is not observed between the NC portfolio and EREIT when capital values are analysed. Suggests that one or both series are not a good measure of real estate returns.
Keywords
  • Multiple time series,
  • Property,
  • Securitization
Disciplines
Publication Date
January, 1996
Location
San Francisco, CA
Citation Information
Steven E. Moss. "Do EREIT Returns Measure Real Estate Returns?" American Real Estate and Urban Economics Association (1996)
Available at: http://works.bepress.com/steven_e_moss/52/