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Abstract
Executive Summary. Real estate investment trusts (REITs) have access to capital sources that other real estate investors do not: public markets for equity and debt. Access to capital may give REITs an advantage over other commercial real estate investors when credit is tight. This paper examines whether markets perceive this to be true and show that REITs' premia to net asset value (NAV) increase when credit is tight. Thus, it appears that the markets do see REITs as having an advantage when credit is tight, although there is a lag between credit tightening and markets reacting. In Japan, where J-REITs are far more passive than in the United States, the relationship between credit conditions and REIT premia to NAV is exactly the opposite.