The Predictability of Equity REIT Returns

Edward Nelling () and Joseph Gyourko
Additional contact information
Edward Nelling: DuPree School of Management Georgia Institute of Technology Atlanta, Georgia 30332-0520, http://www.dupree.gatech.edu/

Journal of Real Estate Research, 1998, vol. 16, issue 3, 251-268

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.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1998
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (41)

Downloads: (external link)
http://pages.jh.edu/jrer/papers/pdf/past/vol16n03/v16p251.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jre:issued:v:16:n:3:1998:p:251-268

Ordering information: This journal article can be ordered from
Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
http://pages.jh.edu/jrer/about/get.htm

Access Statistics for this article

Journal of Real Estate Research is currently edited by Dr. Ko Wang

More articles in Journal of Real Estate Research from American Real Estate Society American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323.
Bibliographic data for series maintained by JRER Graduate Assistant/Webmaster ().