@unpublished{theses_frw3818,
           title = {REIT Performance Relative to the Stock Market during the 2020 Pandemic},
          author = {L.N. de Vries},
            year = {2021},
        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.},
             url = {https://frw.studenttheses.ub.rug.nl/3818/}
}