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| Causal Relationships Between Apartment REIT
Stock Returns and Unsecuritized Residential Real Estate Authors: Ling T. He Start Page: 365 Abstract: This study performs a
complete set of Granger causality tests to examine different types of causal relationships
between apartment real estate investment trust REIT) stock returns and changes in
unsecuritized residential real estate. Results of causality tests provide evidence that
stock returns for apartment REITs Granger-cause alterations in new housing starts. On the
other hand, changes in both new house prices and new housing starts provide relevant and
useful information/feedback to revise expectations of unsecuritized residential real
estate returns/cash flows. In addition, a very strong positive contemporaneous causality
between apartment REIT stock returns and new house prices is detected. The result clearly
suggests that the two series respond simultaneously to some fundamental changes, such as
changes in interest rates. |
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