REIT Momentum and Characteristic-Related REIT Returns
Paul Goebel (),
David Harrison (),
Jeffrey Mercer () and
Ryan Whitby ()
The Journal of Real Estate Finance and Economics, 2013, vol. 47, issue 3, 564-581
Abstract:
Recent evidence confirms that in factor-model examinations of the cross-section of REIT returns, REIT momentum emerges as the dominant driver. Acknowledging the importance of momentum, the current study explores whether and how REIT return patterns are linked to the underlying characteristics of the REITs themselves, in the manner of Daniel and Titman’s (Journal of Finance 52(1):1–33, 1997 , Journal of Portfolio Management 24(4):24–33, 1998 ) characteristics model. Over the period 1993 through 2009, we find that after controlling for momentum, book-to-market, institutional ownership, and illiquidity are all strongly associated with REIT returns while size and analyst coverage are not. We further extend prior research by examining the influence of changes in interest rate cycles on REIT returns, and find that the characteristic-return relationships are heavily influenced by interest rates. Copyright Springer Science+Business Media, LLC 2013
Keywords: Real Estate Investment Trusts (REIT); Return momentum; Characteristics models; Factor models; Monetary policy (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed
Downloads: (external link)
http://hdl.handle.net/10.1007/s11146-012-9371-2 (text/html)
Access to full text is restricted to subscribers.
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:kap:jrefec:v:47:y:2013:i:3:p:564-581
Ordering information: This journal article can be ordered from
http://www.springer. ... ce/journal/11146/PS2
DOI: 10.1007/s11146-012-9371-2
Access Statistics for this article
The Journal of Real Estate Finance and Economics is currently edited by Steven R. Grenadier, James B. Kau and C.F. Sirmans
More articles in The Journal of Real Estate Finance and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().