Journal article
The Predictability of Equity REIT Returns
The Journal of real estate research, v 16(3), pp 251-268
01 Jan 1998
Abstract
This study examines the predictability of monthly returns on equity real estate investment trusts (EREITs) over the period 1975–95 and compares it with that for small- and mid-cap firms. Using the time series approach of Jegadeesh (1990), evidence is found that monthly EREIT returns are predictable based on past performance. However, the predictability is not substantial enough to cover typical transactions costs, so that there is no evidence of unexploited arbitrage opportunities.
The magnitude of EREIT predictability also is examined over different time periods, with the greatest amount found in the most recent data since 1992, which marks the emergence of the new wave of EREITs. Finally, persistence in individual REIT return performance is examined using a nonparametric technique. Limited evidence of persistence in performance is found, with retail-oriented REITs tending to exhibit the most persistence.
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Details
- Title
- The Predictability of Equity REIT Returns
- Creators
- Edward Nelling - Georgia Institute of TechnologyJoseph Gyourko - University of Pennsylvania
- Publication Details
- The Journal of real estate research, v 16(3), pp 251-268
- Publisher
- The American Real Estate Society
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Finance
- Other Identifier
- 991021881408604721