PT  - JOURNAL ARTICLE
AU  - Akash Dania
AU  - Sandip Dutta
TI  - Examining the Dynamic Linkages of Performance and Volatility of REIT Returns
AID  - 10.3905/jwm.2017.19.4.104
DP  - 2017 Jan 31
TA  - The Journal of Wealth Management
PG  - 104--114
VI  - 19
IP  - 4
4099  - https://pm-research.com/content/19/4/104.short
4100  - https://pm-research.com/content/19/4/104.full
AB  - This article extends the literature on the financial performance of real estate investment trusts (REITs) by examining whether U.S. REIT returns are impacted by global REITs and other real estate subsectors, such as the U.S. Real Estate Index (USRE) and the U.S. Mortgage Finance Index (USMF). The authors also explore the issue of volatility transmission and the asymmetric effect of volatility spillover on U.S. REIT returns from innovations originating in other real estate subsectors and Global REITs. Results suggest that U.S. REITs are impacted by USRE and USMF returns. There is also evidence of volatility spillover from key real estate constituents—that is, USRE and USFM returns and global REIT markets. These results can be attributed to the changing dynamics of the real estate sector and the gradual integration of the global real estate sector as an asset class. These findings have strong implications for constructing global portfolios including REITs.TOPICS: Mutual funds/passive investing/indexing, real estate, global, performance measurement