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Articles:
REIT Characteristics and Predictability Authors: Ping Cheng and Stephen E. Roulac Start Page: 23 Abstract:
This paper examines the relationship
between return predictability and REIT characteristics. We build a
multifactor model based on a set of firm-specific factors that include (1)
Risk factors; (2) Liquidity factors; (3) Expensiveness; (4) Profitability;
and (5) Return history. Our model demonstrates the capability of predicting
the ?winners? and the ?losers,? with fairly high consistency. Given the
large return differences uncovered by the model, and the fundamental
characteristics of the ?winners? versus the ?losers,? it is unlikely that
strong results are artifacts of a biased methodology. |
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