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Testing for Long Memory in REIT Returns

Author

Listed:
  • Emmanuel Anoruo

    (Coppin State University)

  • Habtu Braha

    (Coppin State University)

Abstract

This study examines the long memory properties of composite, equity, mortgage, and hybrid real estate investment trust (REIT) returns by using semi-parametric and wavelet estimators. In particular, this paper applies the GPH semi-parametric estimator, the Haar and the Daubechies wavelet procedures to investigate the long memory properties of REIT returns. The results from the various procedures reveal that composite, equity, mortgage, and hybrid REIT returns are long memory processes with anti- persistence. The existence of long memory suggests that the dynamics which govern the four return series contain predictable components. This finding indicates that the markets for composite, equity, mortgage, and hybrid REITs are inefficient. The fact that these markets are inefficient suggests that investors can devise profitable strategies by using historical data or past information.

Suggested Citation

  • Emmanuel Anoruo & Habtu Braha, 2010. "Testing for Long Memory in REIT Returns," International Real Estate Review, Global Social Science Institute, vol. 13(3), pages 261-281.
    • Handle: RePEc:ire:issued:v:13:n:03:2010:p:261-281
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    Citations

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    Cited by:

    1. Sanjay Rajagopal, 2012. "A Study of the Returns Behavior of Small Capitalization REITs," Journal of Economics and Behavioral Studies, AMH International, vol. 4(8), pages 457-466.
    2. Ruoran Xu & Joseph T. L. Ooi, 2018. "Good Growth, Bad Growth: How Effective are REITs’ Corporate Watchdogs?," The Journal of Real Estate Finance and Economics, Springer, vol. 57(1), pages 64-86, July.

    More about this item

    Keywords

    REITs; Long Memory; Wavelets; Fractional Integration; NAREIT; Daubechies; Haar;
    All these keywords.

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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