Momentum Profitability and Market Trend: Evidence from REITs

John L. Glascock and Szu-Yin Hung

ERES from European Real Estate Society (ERES)

Abstract: This study investigates REIT's momentum returns in different market states, and explains the momentum phenomenon with a risk-based dividend growth theory of Johnson (2002). Results show that momentum returns of REITs are higher during up markets. This study finds that winners' dividend/price ratios are higher than those of losers, and that conditioning on different market states, momentum returns are positively correlated with the difference between winners' and losers' dividend/price ratios. We also find that momentum returns are higher after the legislation change of REITs in 1992, and that dividend/price ratios of REITs are also higher after 1992, suggesting that the persistent shock to REIT's dividend/price ratios in 1992 partly explains REITs' higher momentum returns after 1992. In sum, results of this study suggest that momentum returns of REITs can be jointly explained by time-varying factors (market states) and cross-sectional variance in dividend yields.

JEL-codes: R3 (search for similar items in EconPapers)
Date: 2005-01-01
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2005_184

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