Clustering Real Estate Investment Trusts: Brazil versus United States

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.