An analysis of the relationship between US REIT returns

This study analyses the long-term relationship between real estate investment trust (REIT) returns and house price in the US financial market. The relationship between REIT performance and house price or other financial variables represents important information for the risk management strategy of investors. Using a vector error correction model (VECM), the analysis found that in the long run, there exists a positive correlation between US equity REIT returns and house price. Our results reveal that if house prices in the US decline or the inflation index rises, the REIT performance will drop in the long run. Our empirical results also indicate that in recent years, there appears to be a stronger positive correlation between US equity REIT returns and house price