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Momentum Profitability and Market Trend: Evidence from REITs

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  • John L. Glascock
  • Szu-Yin Hung

Abstract

This study investigates REIT's momentum returns in different market states, and explains the momentum phenomenon with a risk-based dividend growth theory of Johnson (2002). Results show that momentum returns of REITs are higher during up markets. This study finds that winners' dividend/price ratios are higher than those of losers, and that conditioning on different market states, momentum returns are positively correlated with the difference between winners' and losers' dividend/price ratios. We also find that momentum returns are higher after the legislation change of REITs in 1992, and that dividend/price ratios of REITs are also higher after 1992, suggesting that the persistent shock to REIT's dividend/price ratios in 1992 partly explains REITs' higher momentum returns after 1992. In sum, results of this study suggest that momentum returns of REITs can be jointly explained by time-varying factors (market states) and cross-sectional variance in dividend yields.

Suggested Citation

  • John L. Glascock & Szu-Yin Hung, 2005. "Momentum Profitability and Market Trend: Evidence from REITs," ERES eres2005_184, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2005_184
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    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2005-184
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    Cited by:

    1. Dennis R. Capozza & Ryan D. Israelsen, 2007. "Predictability in Equilibrium: The Price Dynamics of Real Estate Investment Trusts," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 35(4), pages 541-567, December.

    More about this item

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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