Speculative Trading in Reits

Blau, Benjamin M.; Whitby, Ryan J.

doi:10.1111/jfir.12028

Cited by 1 publication

(1 citation statement)

References 26 publications

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“…After the financial crisis of [2007][2008][2009], the prices of REITs have increased significantly, as interest rates have remained quite low (Blau & Whitby, 2014). The problem that the REIT investors face today is that even though investors borrow money to invest in REITs, they do not have access to the empirical relationships that exist between US REIT prices and different interest rates.…”

Section: Introduce the Problemmentioning

confidence: 99%

Development of Empirical Correlations between Wilshire US REIT Index and Dow Jones Industrial Average Index and Different Interest Rate Swaps

Nandy¹

2015

IJBM

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REITs (Real Estate Investment Trusts) have gained significant popularity among the financial investors in the recent years. The investors do not have access to any model that correlates Wilshire US REIT Index with Dow Jones Industrial Average and different interest rate swaps. The researcher has developed empirical correlations between Wilshire US REIT Index and Dow Jones Average and swap rates of different durations. The null hypothesis that no correlation exists between natural logarithms of Wilshire US REIT Index and natural logarithms of Dow Jones Industrial Average Index has been tested. The researcher has also tested the null hypotheses that no correlation exists between natural logarithms of Wilshire US REIT Index and interest rate swaps of different durations. The period used in this study is from March 10, 2005, to March 10, 2015. The findings from this study indicate that the null hypothesis that no correlation exists between natural logarithm of US REIT Index and Dow Jones Industrial Average Index can be rejected. Further, the null hypotheses that no correlation exists between natural logarithms of US REIT Index and 1-year, 2-year, 3-year and 30-year interest rate swaps can also be rejected.

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Section: Introduce the Problemmentioning

confidence: 99%

Development of Empirical Correlations between Wilshire US REIT Index and Dow Jones Industrial Average Index and Different Interest Rate Swaps

Nandy¹

2015

IJBM

View full text Add to dashboard Cite

show abstract

Speculative Trading in Reits

Cited by 1 publication

References 26 publications

Development of Empirical Correlations between Wilshire US REIT Index and Dow Jones Industrial Average Index and Different Interest Rate Swaps

Development of Empirical Correlations between Wilshire US REIT Index and Dow Jones Industrial Average Index and Different Interest Rate Swaps

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