Serial Persistence in Equity REIT Returns

Richard A. Graff and Michael S. Young ()
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Richard A. Graff: Electrum Partners 400 North Michigan Avenue, Suite 415 Chicago, Illinois 60611

Journal of Real Estate Research, 1997, vol. 14, issue 3, pages 183-214

Abstract: Annual and monthly REIT returns display statistically significant serial persistence, although the two types of persistence behavior are qualitatively different. By contrast, quarterly REIT returns do not display serial persistence. This strongly suggests that linear multifactor market models cannot describe REIT investment behavior. Annual REIT returns fail to reflect corresponding persistence behavior in underlying real estate returns precisely when the REITs are large enough to attract institutional investor interest. Institutional investors move in and out of large-capitalization REITs in ways that negatively impact investment returns.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1997
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