Article1991

An Examination of the Small-Firm Effect within the REIT Industry

Willard McIntosh · Youguo Liang · Daniel L. Tompkins

106 citations0/0 files storedJournal of Real Estate Research

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Analysis and Corporate Governance

Abstract

Real estate investment trusts (REITs) offer investors the ability to more easily include real estate-related assets in their investment portfolios. Certain REIT characteristics may allow some REITs to outperform others. Empirical research in the financial literature indicates that small firms earn higher average rates of return than large firms after accounting for risk. This research tests for the existence of the small-firm effect within the REIT industry. REITs provide an opportunity to examine the small-firm effect and its possible explanations using a relative homogeneous group of securities. The evidence supports a small-firm effect for REITs over the time period examined even after considering the possible explanations identified in the financial efficient markets literature.

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1981The relationship between return and market value of common stocks 1979Risk measurement when shares are subject to infrequent trading 1977Estimating betas from nonsynchronous data 1981Misspecification of capital asset pricing 1983Transaction costs and the small firm effect 1984Differential information and the small firm effect 1985An exploratory investigation of the firm size effect 1981A Possible Explanation of the Small Firm Effect

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2002Commercial Real Estate Return Performance: A Cross-Country Analysis 2002Technical efficiency and economies of scale: A non-parametric analysis of REIT operating efficiency 1997Economies-of-Scale for Real Estate Investment Trusts 2007Idiosyncratic Risk and REIT Returns 2002Commercial Real Estate Return Performance: A Cross-Country Analysis 1993An Investigation of the Change in Real Estate Investment Trust Betas

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