Analysis of the Effectiveness of Investment in Real Estate

Student: Davydenko Aleksandr

Educational Programme: Economics (Bachelor)

Final Grade: 8

Year of Graduation: 2021

The purpose of this paper is to identify factors affecting the return of real estate investment trusts (REITs) and to forecast REIT returns using the ARIMAX model. In order to identify the factors affecting the volatility of REIT sector returns and having a relation to it, the relevant academic literature was studied. The S&P 500 index returns, the inflation rate, and residential and commercial real estate price indicators were taken as explanatory variables. The results of the work confirmed the correlation between NAREIT index returns and the S&P 500 index returns and the inflation rate as well that was previously found out in the academic literature. Visual analysis of the model showed that ARIMAX, based on the described data, copes with the task, but has a significant prediction error.

Full text (added April 30, 2021)

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