Abstract

REITs are often seen to be very similar to utility stocks. However, the current financial crises – which has its roots in the U.S. housing market – has raised some doubts regarding this classification. We re-examine the relationship between REITs and utility stocks analyzing data from the United States and document the existence of a massive structural break in February 2007. Our results indicate that investing in U.S. REITs recently has become more risky relative to investments in utility stocks. This change coincides with the current economic and financial crisis.

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