The Journal of Real Estate Finance and Economics
Volume 20, Issue 2, Article 5 (Abstract)
Title:	Further Evidence on the Integration of REIT, Bond, and Stock Returns
Author:	John L. Glascock, Chiuling Lu and Raymond W. So
Abstract:	This study examines the integration of REIT, bond and stock returns. Cointegration and vector autoregressive models are employed to explore the causality and long run economic linkages among these securities. Our results show that REITs behave more like st ocks and less like bonds after the structural changes in the early 1990s. Overall, results suggest that the benefits of diversification by including REITs in multi-asset portfolios diminish after 1992.
Keywords:	Real Estate Investment Trust, bond market, stock market, and cointegration