Abstract
This study reexamines whether real estate investment trusts (REITs) behave more like equities than direct real estate durint a crisis. Bredin, O'Reilly, and Stevenson (2007) analyze monetary rate increases as external shocks that increase the price of liquidity. This study investigates bank failures, which can be contagious as an internal shock that may decrease liquidity. The results show that equity REITs in general and especially retail, residential, and healthcare REITs experience positive abnormal returns relative to common equities. This return implies that market participants regard equity REITs more like direct real estate, which may qct as a “safe haven” during turbulent times. In contrast, indirect real estate investments like mortgage REITs devalue.