Abstract
This study reports on the ex-post performance of survivor REITs and RECs over a 14.5-year period covering several business cycles. The results show that the systematic risk and risk-adjusted returns of REITs and RECs are quite different, especially during periods of low growth in real GNP. Relative to the overall stock market, survivor REITs, in particular, equity REITs, exhibited less volatility and higher returns than previous studies revealed. This can be explained by the higher returns, lower volatility, and lower systematic risk of REITs in periods of high growth in real GNP which have dominated the 1980s. The results expand our understanding of the true volatility of real estate, highlighting, at the same time, the need for further research to better understand the relationship between the performance of equity REIT securities and the underlying real estate assets in their portfolios.