Cointegration of Real Estate Stocks and REITs with Common Stocks, Bonds and Consumer Price Inflation : an International Comparison
This paper analyses the performance of real estate securities and their relationship toother asset classes as well as to consumer price inflation in an international comparisonover the period from 1990 to 2004. The analysis focuses on the long run relationships,applying three different cointegration tests. It covers the US, Canada,Australia, Japan, the Netherlands, Belgium, France and Germany...