The Predictability of Equity REIT Returns: Time Variation and Economic Significance

David Ling (), Andy Naranjo and Michael D Ryngaert

The Journal of Real Estate Finance and Economics, 2000, vol. 20, issue 2, 117-36

Abstract: This article presents evidence on predictability of excess returns for equity REITs relative to the aggregate stock market, small-capitalization stocks, and T-bills using best-fit models from prior time periods. We find that excess equity REIT returns are far less predictable out-of-sample than in-sample. This inability to forecast out-of-sample is particularly true in the 1990s. Nevertheless, in the absence of transaction costs, active-trading strategies based on out-of-sample predictions modestly outperform REIT buy-and-hold strategies. However, when transaction costs are introduced, profits from these active-trading strategies largely disappear. Copyright 2000 by Kluwer Academic Publishers

Date: 2000
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