%0 Journal Article %A David H. Downs %A Hung-Gay Fung %A Gary A. Patterson %A Jot Yau %T The Linkage of REIT Income- and Price-Returns with Fundamental Economic Variables %D 2003 %R 10.3905/jai.2003.319081 %J The Journal of Alternative Investments %P 39-50 %V 6 %N 1 %X This article examines the relation between changes in macroeconomic variables and returns of Real Estate Investment Trusts (REITs). Previous studies show that stock prices quickly absorb news from changes in macro-economic variables. This study examines the components of REIT total returns, income- and pricereturns, to gain a more detailed understanding of how macroeconomic variables affect the movement of these returns. Results using monthly data show that changes in macroeconomic variables have a significant impact on the volatility of the income portion of REIT returns and the news shocks from these variables impact income return volatility for more than one month in duration. These findings may assist REIT investors in their approaches to risk-management. %U https://jai.pm-research.com/content/iijaltinv/6/1/39.full.pdf