TY - JOUR
T1 - REIT Momentum and Characteristic-Related REIT Returns
AU - Goebel, Paul R.
AU - Harrison, David M.
AU - Mercer, Jeffrey M.
AU - Whitby, Ryan J.
PY - 2013/10
Y1 - 2013/10
N2 - 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.
AB - 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.
KW - Characteristics models
KW - Factor models
KW - Monetary policy
KW - Real Estate Investment Trusts (REIT)
KW - Return momentum
UR - http://www.scopus.com/inward/record.url?scp=84884533152&partnerID=8YFLogxK
U2 - 10.1007/s11146-012-9371-2
DO - 10.1007/s11146-012-9371-2
M3 - Article
AN - SCOPUS:84884533152
VL - 47
SP - 564
EP - 581
JO - Journal of Real Estate Finance and Economics
JF - Journal of Real Estate Finance and Economics
SN - 0895-5638
IS - 3
ER -