relation: https://frw.studenttheses.ub.rug.nl/3818/
title: REIT Performance Relative to the Stock Market during the 2020 Pandemic
creator: Vries, L.N. de
description: 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.
date: 2021
type: Thesis
type: NonPeerReviewed
format: text
language: en
identifier: https://frw.studenttheses.ub.rug.nl/3818/1/Niels%20de%20Vries_S3175898.pdf
identifier:   Vries, L.N. de  (2021) REIT Performance Relative to the Stock Market during the 2020 Pandemic.  Master thesis.