Clustering Real Estate Investment Trusts: Brazil versus United States

Fernanda Sousa Gabriel, Kárem Cristina de Sousa Ribeiro Post, Kárem Cristina de Sousa Ribeiro Post, Pablo Rogers, Pablo Rogers

Abstract


This research aims to cluster American and Brazilian Real Estate Investment Trusts – USAREITs and BRREITs, respectively – based on their risk-adjusted measures of performance from January/2003 to August/2013, as well as before, during and after the financial crisis of 2008. Factor and Cluster Analysis pointed out three groups. Afterwards, Kruskal-Wallis and Dwass-Steel-Chritchlow-Fligner pairwise comparisons were adopted to verify the statistical differences between clusters. Overall, BRREITs achieved a better performance before and during the crisis, but an inferior performance after the crisis. USAREITs presented a more aggressive strategy after the crisis, whilst BRREITs presented a more conservative strategy during the same period.


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DOI: https://doi.org/10.5296/jmr.v7i4.7848

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