آیا REITs دارایی واقعی است؟ مدارک و شواهد از داده های سطح بخش بین المللی

The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market indices and neglected the potential long-term dynamics, our econometric evaluation is based on sector level data and caters for both the short-term and long-term dynamics of the assets as well as for the lack of leverage in the direct real estate indices. In addition to the real estate and stock market indices, the analysis includes a number of fundamental variables that are expected to influence real estate and stock returns significantly. We estimate vector error-correction models and investigate the forecast error variance decompositions and impulse responses of the assets. Both the variance decompositions and impulse responses suggest that the long-run REIT market performance is much more closely related to the direct real estate market than to the general stock market. Consequently, REITs and direct real estate should be relatively good substitutes in a long-horizon investment portfolio. The results are of relevance regarding the relationship between public and private markets in general, as the ‘duality’ of the real estate markets offers an opportunity to test whether and how closely securitized asset returns reflect the performance of underlying private assets. The study also includes implications concerning the recent financial crisis.

Direct real estate investments have been shown to provide significant diversification benefits in a portfolio containing stocks (Hoesli et al., 2004; MacKinnon and Al Zaman, 2009; Brounen et al., 2010). However, direct real estate assets have several disadvantages such as relatively low liquidity, high transaction costs, and lumpiness. The securitized real estate market has developed to circumvent these complications, so that many investors prefer to invest in real estate securities rather than in direct real estate. If securitized and direct real estate returns are driven by a common ‘real estate factor’ over the long horizon, then real estate securities are expected to provide the same diversification benefits as direct commercial real estate in a mixed-asset portfolio of a long-horizon buy-and-hold investor, such as a pension fund. On the other hand, if securitized real estate behaves like the general stock market, real estate equities do not provide the diversification opportunities exhibited by the direct real estate market. Although the question of whether real estate securities behave as real estate or as equities is an old one and an important one for a large number of investors, the answer to the question is still not conclusive in the extant literature. Securitized real estate prices may embed stock market noise that is not related to the fundamentals driving real estate returns. Therefore, the attractive diversification features of direct real estate may be lost by investing in REITs instead of in direct real estate assets. Indeed, it is well known that the contemporaneous correlation between securitized and direct real estate returns is relatively low (Mueller and Mueller, 2003; Brounen and Eichholtz, 2003). Instead of co-moving with direct real estate returns, early empirical evidence, mainly concerning the U.S. market, identified a similar return behaviour between securitized real estate and the general stock market (Goetzmann and Ibbotson, 1990; Ross and Zisler, 1991; Myer and Webb, 1994). More recently, the results regarding the comovement between securitized real estate returns and general stock market returns have been mixed. The short-run comovement between the securitized and direct real estate markets may also be significantly diminished by the typically sluggish adjustment of direct real estate market prices to changes in the fundamentals. However, as in the long run both markets should adjust to shocks in the fundamentals and the impact of noise in securitized real estate prices should vanish, securitized real estate should strongly co-vary with the returns on a portfolio composed of equivalent direct real estate investments, since the fundamental asset is essentially the same in both markets. In line with this assumption, it has been established that over long horizons the linkages between indirect and direct real estate are substantially stronger than suggested by the simple contemporaneous correlation figures (Giliberto, 1990; Geltner and Kluger, 1998; MacKinnon and Al Zaman, 2009; Oikarinen et al., 2011). Conventionally, the question has been studied by only including the three asset classes in the analysis while neglecting the role of economic fundamentals. Furthermore, the analyses have generally been based on aggregate real estate indices. The overall direct and securitized real estate indices typically differ notably with respect to the property-type mixes. Since the return dynamics between various real estate sectors may vary substantially (Wheaton, 1999; Oikarinen et al., 2010), the use of overall indices may diminish the estimated comovement between securitized and direct real estate markets. That is, using sector level data should yield more accurate results regarding the linkages between direct and securitized real estate. The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns. Similarly to a recent study by Sebastian and Schätz (2009), we include economic fundamentals in the econometric analysis. This allows us to cater for the effects that result from the interdependences between the fundamentals and the asset returns. However, while Sebastian and Schätz use the overall real estate market indices, we use sector level real estate data for the U.S. and U.K.1 This is important as portfolio composition effects may be masking the linkages between asset classes. To the best of our knowledge, only one study (Pavlov and Wachter, 2010) has examined the relationship between REIT returns and returns on similar direct real estate portfolios at the sector level while including fundamentals in the analysis. However, these authors do not consider the influence of lead–lag relations and potential long-run relationships in their investigation. We also propose that, in addition to the tests used in the previous literature, impulse response analysis can be utilized to investigate the substitutability between securitized and direct real estate. Given the complications and mixed results in the extant literature, more research on the linkages between securitized and direct real estate is warranted to assess whether REITs can be used as a surrogate for direct real estate to achieve greater inter-asset diversification in the long term. We estimate vector error-correction models separately for four U.S. and two U.K. real estate sectors as well as for the Australian overall real estate market, and examine the variance decompositions of securitized and direct real estate returns and of general stock market returns. We also study the reaction patterns of the assets to shocks in the fundamentals and in the asset returns themselves. A particular emphasis is placed on analysing whether securitized real estate returns are more tightly related to direct real estate returns or to overall stock market returns, especially in the long horizon. In this study, by ‘long-horizon’ or ‘long-term’ we refer to an investment horizon of three to four years, as this horizon is typically relevant for fund managers. This is also the horizon at which the variance decompositions and impulse responses converge at the latest to their eventual long-term values. Our results suggest that the long-term REIT market performance is substantially more tightly related to direct real estate performance than to general stock market returns. Based on variance decompositions, neither direct real estate nor stock market shocks drive REIT market performance. Nevertheless, the linkages between the direct and securitized markets appear to be tight, since a major part of the long-horizon forecast error variance of direct real estate indices can be explained by REIT return shocks. This implies that the direct and securitized markets are closely linked and the predictability goes from REITs to the direct market, i.e., ‘real estate shocks’ take place first in the REIT market after which the direct market adjusts to these shocks. Furthermore, our analysis indicates that, in general, the long-run accumulated responses of REIT and direct real estate returns to various shocks closely resemble each other. Importantly, the similitude between REITs and direct real estate is substantially greater than that between REITs and the general stock market. The Australian market appears to be a different case, though, as we cannot reliably identify tight links between the three assets (REITs, stocks and direct real estate) in that country. This may be partly due to some data complications. Our findings have several practical implications. Since REITs behave much like direct real estate investments in the long horizon, the substitutability between REITs and direct real estate appears to be relatively good. That is, while the short-term comovement between REITs and stocks is stronger than that between REITs and direct real estate, REITs are likely to provide a similar exposure to various risk factors as direct real estate in a long-horizon investment portfolio. In other words, REITs are expected to generally offer similar diversification properties as direct real estate investments. The results also suggest that it is important to cater for the differences between real estate sectors when making portfolio decisions. Moreover, our analysis provides implications regarding the effects of the financial crisis on the asset markets. The notable deviations from the long-run relations between the securitized and direct real estate markets that emerged during the financial crisis suggest that an investor should not reallocate his portfolio from REITs to direct real estate after a drastic drop in REIT prices caused by a financial crisis, on the contrary rather. In accordance with Brunnermeier's (2009) suggestion, the financial crisis hit much more adversely the real estate sector than the overall stock market. The data also indicate that the REIT market predicted the crisis and recovery. Finally, the ‘duality’ of the real estate markets offers an opportunity to test whether and how closely securitized asset returns reflect the performance of underlying private assets. This is of relevance not only regarding real estate related assets but also concerning the stock market in general, as securities represent indirect claims on lumpy private assets such as factories and equipment or real estate. Empirical examination of the relationship between stock return dynamics and the performance of the underlying assets is usually not possible, since there are no reliable time series data on the typical underlying assets. Our findings suggest that in the long run, securities reflect closely the underlying private market returns, while in the short-run comovement can be relatively weak. The next section reviews previous literature on the interdependence between direct real estate, securitized real estate and overall stock markets. In the third section, we delineate the research methodology, after which the data used in the empirical analysis are described. The empirical findings are reported in section five, while we provide some concluding remarks in a final section.

Securities represent indirect claims on lumpy private assets such as factories and equipment or real estate. In addition to enabling portfolio diversification with smaller amounts of capital, securities are an attractive alternative to direct asset ownership because of their generally higher liquidity and lower transaction costs than those of the underlying private assets based on which the security cash flows are generated. An important question for an investor is how closely the securitized asset returns reflect the underlying private asset performance. Of particular interest often is whether the securities provide similar diversification benefits as the private market assets. Empirical examination of this question is usually not possible, since there are no reliable time series data on the typical underlying assets. However, the ‘duality’ of the real estate markets offers an opportunity to test whether and how closely securitized asset returns reflect the performance of underlying private assets: relatively reliable data are available both for securitized real estate (REIT) and direct real estate performance. Although the issue of whether real estate securities behave as real estate or as stocks is of importance to a large number of investors, no clear-cut conclusion can be found in the extant literature. This study brings further empirical evidence on the issue. It appears that our analysis is the first one on the theme that incorporates economic fundamentals and sector level real estate data, and that caters for the short-run and long-run dynamics of the asset returns as well as for leverage. We propose that the long-run nature of REIT returns can be studied rigorously by investigating the forecast error variance decompositions and impulse responses computed from vector error-correction models (VECM). Our findings, based on sector level REIT and direct real estate indices for the U.S. and U.K., suggest that securitized and direct real estate markets are tightly linked in the long run. It appears that REIT returns are largely independent with respect to shocks in the other assets – neither direct real estate nor stock market shocks appear to be driving REIT market performance. However, a major part of the long-horizon forecast error variance of the direct real estate indices can be explained by REIT return shocks. This implies that the direct and securitized markets are closely linked and the predictability goes from REITs to direct real estate, i.e., ‘real estate shocks’ take place first in the REIT market after which the direct market adjusts to these shocks. In addition, the long-run accumulated impulse responses of REIT and direct real estate returns to various shocks closely resemble each other. The resemblance between REITs and direct real estate is substantially greater than that between REITs and the general stock market. Therefore, while the short-term comovement between REITs and stocks is typically stronger than that between REITs and direct real estate, REITs are likely to bring a similar exposure to various risk factors as direct real estate into a long-horizon investment portfolio. REITs are also expected to have similar attractive diversification properties as direct real estate investments in the long horizon, at least in the U.S. and U.K. Since the variance decompositions and impulse responses generally converge after three years, our findings indicate that three years can be regarded as a ‘long horizon’ for portfolio analysis purposes. These findings have important implications with respect to asset allocation in a long-horizon multi-asset portfolio, since they point to opportunities for investors to combine the advantages of listed real estate with the attractive diversification features of direct real estate investments. Unlike for the U.S. and U.K. markets, we are not able to draw reliable conclusions for the asset interdependences in Australia. A potential explanation for this is the lack of sector level real estate data for the Australian market: our results show that it may be important to cater for the differences across real estate sectors when making portfolio decisions and analysing real estate return dynamics. Naturally, there may also be some differences across countries. Our analysis also indicates that an investor should not reallocate his portfolio from REITs to direct real estate after a drastic drop in REIT prices caused by a financial crisis, on the contrary rather. In accordance with Brunnermeier's (2009) suggestion, the subprime crisis hit much more adversely the real estate sector than it did the overall stock market. Our results further indicate that the REIT market predicted the recent crisis and recovery.