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Abstract
This study identifies a standard set of REITs and provides characteristics of the set. The total REIT sample is formed by 245 firms identified by the National Association of Real Estate Investment Trusts (NAREIT) for the years 1972-1991. Of these firms, 151 have return data available from CRSP. Portfolios are constructed using all 151 existing REITs—survivors, equity, mortgage, and hybrid—to analyze the performance among different types of REITs. Evidence from these portfolios suggests that REITs have lower risk than found in previous studies. Correspondingly, REIT returns have been lower than market returns over the study period.
Over the 20-year period studied, the average data series for all firms is 99.7 months long, but the range is from two months to 240 months (the entire period). Only 16 of the 245 REITs exist for the total period and only 12 of the 16 have returns recorded by CRSP in each month.