Author: Richard A. Graff and Michael S. Young

Start Page: 183
End Page: 214
Volume: 14
Issue Number: 3
Year: 1997
Publication: Journal of Real Estate Research

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.