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An investigation into REIT performance persistency

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  • Xiaorong Zhou
  • Alan J. Ziobrowski

Abstract

Using equity real estate investment trust (EREIT) returns from the CRSP/Ziman REITs database, portfolios of Real Estate Investment Trusts (REITs) are ranked based on past performance and evaluated for persistence in future years using various performance measurement models. After adjusting for risk with Carhart’s (1997) 4‐factor model, we find no evidence of persistence. However, we do find strong evidence of performance reversal with two‐year and three‐year lagged return periods and holding periods. The results suggest investors tend to overreact based on long‐term performance records. Thus investors seem to take a much longer period of time to formulate an opinion regarding a REIT’s performance record than previously assumed by earlier researchers.

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  • Xiaorong Zhou & Alan J. Ziobrowski, 2009. "An investigation into REIT performance persistency," Journal of Property Research, Taylor & Francis Journals, vol. 26(2), pages 149-170, September.
    • Handle: RePEc:taf:jpropr:v:26:y:2009:i:2:p:149-170
    DOI: 10.1080/09599910903441762
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    Cited by:

    1. Steffen Westermann & Scott J. Niblock & Michael A. Kortt, 2018. "A Review of Corporate Social Responsibility and Real Estate Investment Trust Studies: An Australian Perspective," Economic Papers, The Economic Society of Australia, vol. 37(1), pages 92-110, March.

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