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Serial Persistence in Equity REIT Returns

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Abstract

Annual and monthly REIT returns display statistically significant serial persistence, although the two types of persistence behavior are qualitatively different. By contrast, quarterly REIT returns do not display serial persistence. This strongly suggests that linear multifactor market models cannot describe REIT investment behavior. Annual REIT returns fail to reflect corresponding persistence behavior in underlying real estate returns precisely when the REITs are large enough to attract institutional investor interest. Institutional investors move in and out of large-capitalization REITs in ways that negatively impact investment returns.

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  • 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.
    • Handle: RePEc:jre:issued:v:14:n:3:1997:p:183-214
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    1. Grinblatt, Mark & Titman, Sheridan, 1992. "The Persistence of Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 47(5), pages 1977-1984, December.
    2. Tsong‐Yue Lai & Ko Wang, 1998. "Appraisal Smoothing: The Other Side of the Story," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(3), pages 511-535, September.
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    Cited by:

    1. Camilo Serrano & Martin Hoesli, 2010. "Are Securitized Real Estate Returns more Predictable than Stock Returns?," The Journal of Real Estate Finance and Economics, Springer, vol. 41(2), pages 170-192, August.
    2. 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.
    3. Prashant Das & Julia Freybote & Gianluca Marcato, 2015. "An Investigation into Sentiment-Induced Institutional Trading Behavior and Asset Pricing in the REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 51(2), pages 160-189, August.
    4. Michael S. Young, 2000. "REIT Property-Type Sector Integration," Journal of Real Estate Research, American Real Estate Society, vol. 19(1), pages 3-21.
    5. Ming-Te Lee & Chyi Lin Lee & Ming-Long Lee & Chien-Ya Liao, 2017. "Price linkages between Australian housing and stock markets," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 10(2), pages 305-323, April.
    6. Felix Schindler, 2013. "Predictability and Persistence of the Price Movements of the S&P/Case-Shiller House Price Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 46(1), pages 44-90, January.
    7. Vinod Chandrashekaran, 1999. "Time-Series Properties and Diversification Benefits of REIT Returns," Journal of Real Estate Research, American Real Estate Society, vol. 17(1), pages 91-112.
    8. Jochem J. Bron & Chinmoy Ghosh & Milena Petrova, 2018. "On the Earnings and Price Momentum Strategies: Evidence from European Real Estate Firms," The Journal of Real Estate Finance and Economics, Springer, vol. 57(3), pages 400-430, October.
    9. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 509-580, Elsevier.
    10. Steven P. Devaney & Stephen L. Lee & Michael S. Young, 2007. "Serial persistence in individual real estate returns in the UK," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 25(3), pages 241-273, May.
    11. Ping Cheng & Stephen E. Roulac, 2007. "REIT Characteristics and Predictability," International Real Estate Review, Global Social Science Institute, vol. 10(2), pages 23-41.
    12. Schindler, Felix & Rottke, Nico & Füss, Roland, 2009. "Testing the predictability and efficiency of securitized real estate markets," ZEW Discussion Papers 09-054, ZEW - Leibniz Centre for European Economic Research.
    13. Simon Stevenson, 2002. "Momentum Effects and Mean Reversion in Real Estate Securities," Journal of Real Estate Research, American Real Estate Society, vol. 23(1/2), pages 47-64.
    14. Felix Schindler, 2014. "Persistence and Predictability in UK House Price Movements," The Journal of Real Estate Finance and Economics, Springer, vol. 48(1), pages 132-163, January.

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    JEL classification:

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

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