Vries, L.N. de (2021) REIT Performance Relative to the Stock Market during the 2020 Pandemic. Master thesis.
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Abstract
Real Estate Investment Trusts (REITs) are an asset class that is often praised by investors for its diversification potential. Over the course of the 2020 Covid-19 pandemic, REITs experienced a substantial crash that occurred simultaneously with the stock market. This brings up the question whether or not REITs also provide a diversification potential in those times and to what extent they are impacted by the stock market. A vector autoregression is proposed in order to assess the relationship between 193 REITs and of the 500 largest stocks in the USA over the period from 2-1-2019 to 31-12-2020. In addition to REITs and stocks, the dataset contains variables for valuations, market capitalization and real estate properties. This research suggests that REIT performance is causally impacted by the S&P500, market valuation and market capitalization, explaining 32,3%, 19,2% and 3,5% of REIT performance respectively. Properties only account for 3% of REIT returns and is not a causal variable either. Therefore, REITs had limited diversification benefits and became correlated to the stock market in terms of their performance during the 2020 pandemic.
| Item Type: | Thesis (Master) |
|---|---|
| Degree programme: | Real Estate Studies |
| Supervisor: | Vlist, A.J. van der |
| Date Deposited: | 03 May 2022 11:44 |
| Last Modified: | 03 May 2022 11:44 |
| URI: | https://frw.studenttheses.ub.rug.nl/id/eprint/3818 |
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