REIT Characteristics and Predictability

Ping Cheng () and Stephen E. Roulac ()
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Ping Cheng: Department of Industry Studies, College of Business, Florida Atlantic University, 777 Glades Road, Boca Raton, FL 33431
Stephen E. Roulac: Roulac Global Places, LLC, 709 Fifth Avenue, San Rafael, CA 94901

International Real Estate Review, 2007, vol. 10, issue 2, 23-41

Abstract: This paper examines the relationship between return predictability and REIT characteristics. We build a multifactor model based on a set of firm-specific factors that include (1) Risk factors; (2) Liquidity factors; (3) Expensiveness; (4) Profitability; and (5) Return history. Our model demonstrates the capability of predicting the “winners” and the “losers,” with fairly high consistency. Given the large return differences uncovered by the model, and the fundamental characteristics of the “winners” versus the “losers,” it is unlikely that strong results are artifacts of a biased methodology.

Keywords: REIT; return predictability; REIT characteristics; risk and return; portfolio (search for similar items in EconPapers)
JEL-codes: L85 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (3)

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