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Goebel-2012-Reit Momentum and Characteristic-R

In: Business and Management

Submitted By M10318017
Words 3233
Pages 13
J Real Estate Finan Econ (2013) 47:564–581
DOI 10.1007/s11146-012-9371-2

REIT Momentum and Characteristic-Related
REIT Returns
Paul R. Goebel & David M. Harrison & Jeffrey M. Mercer & Ryan J. Whitby

Published online: 24 April 2012
# Springer Science+Business Media, LLC 2012

Abstract Recent evidence confirms that in factor-model examinations of the crosssection of REIT returns, REIT momentum emerges as the dominant driver.
Acknowledging the importance of momentum, the current study explores whether and how REIT return patterns are linked to the underlying characteristics of the REITs themselves, in the manner of Daniel and Titman’s (Journal of Finance 52(1):1–33, 1997,
Journal of Portfolio Management 24(4):24–33, 1998) characteristics model. Over the period 1993 through 2009, we find that after controlling for momentum, book-tomarket, institutional ownership, and illiquidity are all strongly associated with REIT returns while size and analyst coverage are not. We further extend prior research by examining the influence of changes in interest rate cycles on REIT returns, and find that the characteristic-return relationships are heavily influenced by interest rates.
Keywords Real Estate Investment Trusts (REIT) . Return momentum . Characteristics models . Factor models . Monetary policy

Introduction
REITs as an asset class have become an increasingly important part of well diversified portfolios for both individual and institutional investors. Although REITs are very different from non-REIT equities in many ways, it has been shown that REIT and non-REIT equity returns have striking similarities. For example, both Chui et al.
P. R. Goebel (*) : D. M. Harrison : J. M. Mercer
Rawls College of Business, Texas Tech University, Lubbock, TX 79409-2101, USA e-mail: paul.goebel@ttu.edu
D. M. Harrison e-mail: david.m.harrison@ttu.edu
J. M.

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