This study examines the behavior of the excess returns of publicly-listed real estate firms whose shares are traded in Japan, Taiwan, Hong Kong, South Korea, Singapore, and Thailand in widely-varying market situations. The results indicate that the publicly-traded stocks of real estate firms in...

This study examines the integration of REIT, bond and stock returns. Cointegration and vector autoregressive models are employed to explore the causality and long run economic linkages among these securities. Our results show that REITs behave more like stocks and less like bonds after the...