TY  - UNPB
AV  - public
N2  - 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.
ID  - theses_frw3818
UR  - https://frw.studenttheses.ub.rug.nl/3818/
Y1  - 2021///
M1  - master
TI  - REIT Performance Relative to the Stock Market during the 2020 Pandemic
A1  - Vries, L.N. de
EP  - 49
ER  -