Graduation Year


Date of Submission


Document Type

Campus Only Senior Thesis

Degree Name

Bachelor of Arts



Reader 1

Ricardo Fernholz

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2020 Anthony A Dreas


This paper provides evidence for the lack of influence of public markets on the volatility of REITs across all asset types over the long run. Further, it provides evidence that the behavior of REIT returns is still highly correlated to small cap value stocks due to the way institutional investors analyze them and not because they share the same risk factors. Finally, this paper also shows how the different asset classes represented by REITs are correlated to different segments of the market. Prior studies have noted the the diminishing influence of public equities on REIT returns and volatility entering the 2000s, as the growth of institutional investment resulted in the pricing of private real estate risk factors. But these studies have provided mixed results due to the frequency of the data used and the timeframe of their papers. Using monthly REIT data from 1994-2019, it is shown that across different property types, public markets do not influence the volatility of REITs, with growing evidence that the private real estate market and idiosyncratic risk have grown in influence. This adds to the theory that REITs, over long run horizons, indeed are more like real estate than stocks.

This thesis is restricted to the Claremont Colleges current faculty, students, and staff.