An Analysis of Central Drivers of REIT Returns

Abstract

Much research has speculated on the ability of REITs to act as a hedge for inflation or whether REITs could act as a safe haven for investors in the event of economic downturn. However, much of these studies are lacking basic data analysis or timely data to determine the dependence of REIT returns on various economic factors. The goal of this study is to act as a meta-analysis to synthesize the relationship between REITs and several potential risk factors. This study will extend beyond the timeline of previous studies and will examine the relationship of several hypothesized risk factors. This information can be used as a component of future decisions to hedge REIT risk in a portfolio. This study will use the historical returns from NAREIT as well as six indices. This study will use both univariate regressions and multivariate regressions to analyze the relationship between REITs and mortgage REITs and each representative index.