REIT Characteristics and Predictability
AbstractThis 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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Bibliographic InfoArticle provided by Asian Real Estate Society in its journal International Real Estate Review.
Volume (Year): 10 (2007)
Issue (Month): 2 ()
Contact details of provider:
Postal: Asia Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA
Web page: http://www.asres.org/
Postal: Asian Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA
Find related papers by JEL classification:
- L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
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