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REIT Characteristics and Predictability

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Author Info
Ping Cheng () (Department of Industry Studies, College of Business, Florida Atlantic University, 777 Glades Road, Boca Raton, FL 33431)
Stephen E. Roulac () (Roulac Global Places, LLC, 709 Fifth Avenue, San Rafael, CA 94901)
Abstract

This paper examines the relationship between return predictability and REIT characteristics. We build a multifactor model based on a set of firm-specific factors that include (1) Risk factors; (2) Liquidity factors; (3) Expensiveness; (4) Profitability; and (5) Return history. Our model demonstrates the capability of predicting the “winners” and the “losers,” with fairly high consistency. Given the large return differences uncovered by the model, and the fundamental characteristics of the “winners” versus the “losers,” it is unlikely that strong results are artifacts of a biased methodology.

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File URL: http://www.umac.mo/fba/irer/papers/past/vol10n2_pdf/02Cheng%20and%20Roulac%20_23-41.pdf
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Publisher Info
Article provided by Asian Real Estate Society in its journal International Real Estate Review.

Volume (Year): 10 (2007)
Issue (Month): 2 ()
Pages: 23-41
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ire:issued:v:10:n:02:2007:p:23-41

Contact details of provider:
Postal: Asia Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA
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Web page: http://www.asres.org/

Order Information:
Postal: Asian Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA
Email:
Web: http://www.asres.org/

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Related research
Keywords: REIT; return predictability; REIT characteristics; risk and return; portfolio;

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Find related papers by JEL classification:
L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

References listed on IDEAS
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  1. Mei, Jianping & Liu, Crocker H, 1994. "The Predictability of Real Estate Returns and Market Timing," The Journal of Real Estate Finance and Economics, Springer, vol. 8(2), pages 115-35, March.
  2. Haugen, Robert A. & Baker, Nardin L., 1996. "Commonality in the determinants of expected stock returns," Journal of Financial Economics, Elsevier, vol. 41(3), pages 401-439, July. [Downloadable!] (restricted)
  3. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February. [Downloadable!] (restricted)
  4. M. Hashem Pesaran & Allan Timmermann, 1995. "Predictability of Stock Returns: Robustness and Economic Significance," University of California at San Diego, Economics Working Paper Series 95-19, Department of Economics, UC San Diego.
    Other versions:
  5. Allen, Marcus T & Madura, Jeff & Springer, Thomas M, 2000. "REIT Characteristics and the Sensitivity of REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 21(2), pages 141-52, September. [Downloadable!] (restricted)
  6. Bernard, Victor L. & Thomas, Jacob K., 1990. "Evidence that stock prices do not fully reflect the implications of current earnings for future earnings," Journal of Accounting and Economics, Elsevier, vol. 13(4), pages 305-340, December. [Downloadable!] (restricted)
  7. Edward Nelling & Joseph Gyourko, 1998. "The Predictability of Equity REIT Returns," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 251-268. [Downloadable!]
  8. Richard A. Graff & Michael S. Young, 1997. "Serial Persistence in Equity REIT Returns," Journal of Real Estate Research, American Real Estate Society, vol. 14(3), pages 183-214. [Downloadable!]
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This page was last updated on 2009-12-3.


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