All articles listed here are available for download in portable document format. 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.
Only the unanticipated change in term structure is significant in versions of the model that exclude firm-specific variables. There are five major findings. First, expected excess returns of real estate related securities are more predictable than the expected excess returns of value-weighted stocks and bonds. Second, right market timing is important to investors since evidence shows that the risk premiums of real estate related securities vary substantially over time. Third, real estate market conditions significantly influence bonds and MBSs.