This study examines the linkage between mortgage Real Estate Investment Trust (REIT) returns and the private real estate factor. The results show that real estate sensitivities of mortgage REITs are time varying and have been significant since 2000. Furthermore, home-financing mortgage REITs...

Spatial estimators usually provide lower prediction errors than their aspatial counterparts. However, most of the standard techniques require a large number of operations. Fortunately, for a given observation only a relatively small number of nearby observations typically exhibit correlated...