The Predictability of REIT Returns and Market Segmentation

Yuming Li · Ko Wang

139 citations0/0 files storedJournal of Real Estate Research

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Financial Markets and Investment Strategies Housing Market and Economics Financial Analysis and Corporate Governance

Abstract

Recent research suggests that real estate returns are more predictable than the returns of other assets and that the real estate market is segmented from the general stock market. This study examines these two issues empirically using a multifactor asset pricing model that allows for time-varying risk premiums. The results indicate that, in a general two-factor asset pricing framework, the REIT market is integrated with the general stock market. Furthermore, no evidence can be found that REIT returns are more predictable than the returns of other stocks.

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1987Expected stock returns and volatility 1989Business conditions and expected returns on stocks and bonds 1988Dividend yields and expected stock returns 1977Estimating betas from nonsynchronous data 1985Stock Returns and the Term Structure 1983Size-related anomalies and stock return seasonality 1991The Variation of Economic Risk Premiums

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2013Forecasting Real Estate Prices 1994Is there a real estate factor premium?1998The Predictability of Equity REIT Returns 1997Interactions Between Property and Equity Markets: An Investigation of Linkages in the United Kingdom 1972–1992 2005The Case for REITs in the Mixed-Asset Portfolio in the Short and Long Run 2008Investor Sentiment and REIT Returns

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