The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns

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Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets (2010, background): “Using a multifactor model where stock, bond, and direct real estate returns as proxies for underlying state variables determining these asset prices, Clayton and Mackinnon (2003) reported that while through 1970s and 1980s the US NAREIT returns were driven largely by the same economic factors that d”
Correlation and Volatility Dynamics in International Real Estate Securities Markets (2009, background): “Other studies include Echholtz (1996a, b), Okunuv and Wilson (1997), Ling and Naranjo (1999), Mei and Hu (2000), Okunev et al. (2000), Kallberg et al. (2002), Clayton and Mackinnon (2003), Wilson and Zurbruegg (2004), Liow and Yang (2005), Cotter and Stevenson (2006) and Michayluk et al. (2006).”
Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets (2011, unknown): “Clayton and MacKinnon (2003), for instance, show that securitized real estate is mainly linked to the stock market.”
Are REITs Real Estate? Evidence from International Sector Level Data (2012, unknown): “Clayton and MacKinnon (2003) find that prior to the 1990s, REIT returns exhibit the greatest sensitivity to large cap stocks.”