Abstracts for Vol. This issue includes an Introduction by Youguo Liang and Ko Wang.
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However, the predictability is not substantial enough to cover typical transactions costs, so that there is no evidence of unexploited arbitrage opportunities. Finally, persistence in individual REIT return performance is examined using a nonparametric technique. Limited evidence of persistence in performance is found, with retail-oriented REITs tending to exhibit the most persistence. Beta does not explain return variation. Size is the sole consistent factor explaining prices.