EconPapers    
Economics at your fingertips  
 

An investigation into REIT performance persistency

Xiaorong Zhou and Alan J. Ziobrowski

Journal of Property Research, 2009, vol. 26, issue 2, 149-170

Abstract: Using equity real estate investment trust (EREIT) returns from the CRSP/Ziman REITs database, portfolios of Real Estate Investment Trusts (REITs) are ranked based on past performance and evaluated for persistence in future years using various performance measurement models. After adjusting for risk with Carhart’s (1997) 4‐factor model, we find no evidence of persistence. However, we do find strong evidence of performance reversal with two‐year and three‐year lagged return periods and holding periods. The results suggest investors tend to overreact based on long‐term performance records. Thus investors seem to take a much longer period of time to formulate an opinion regarding a REIT’s performance record than previously assumed by earlier researchers.

Date: 2009
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/09599910903441762 (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:taf:jpropr:v:26:y:2009:i:2:p:149-170

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RJPR20

DOI: 10.1080/09599910903441762

Access Statistics for this article

Journal of Property Research is currently edited by Bryan MacGregor

More articles in Journal of Property Research from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst (chris.longhurst@tandf.co.uk).

 
Page updated 2024-12-29
Handle: RePEc:taf:jpropr:v:26:y:2009:i:2:p:149-170