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Cited by 518

The DOI matches its Crossref record; 23 of the 23 references it cites were found in a registry or an index.

The Cross Section of Expected REIT Returns

Open access
Chui, Andy C. W., Titman, Sheridan, Wei, K. C. John·2003·Real Estate Economics
DOI 10.1111/1540-6229.00073
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Abstract

In this study, we examine the cross‐sectional determinants of expected REIT returns. We examine both the pre‐ and post‐1990 periods, since the structure of the REIT market changed substantially around 1990. The determinants of expected returns differ between the two subperiods. In the pre‐1990 subperiod, momentum, size, turnover and analyst coverage predict REIT returns. In the post‐1990 period, momentum is the dominant predictor of REIT returns. Given the strength of the momentum effect in the post‐1990 period, we examine it in great detail. For the whole period, and for the post‐1990 period where the momentum profit is strongest, our evidence is generally consistent with the studies on common stocks other than REITs. The only striking exception is that we find that momentum is stronger for the larger REITs rather than for the smaller REITs. In our multiple regressions that include the characteristics as well as interactions between past returns and firm characteristics, the turnover–momentum interaction effect provides the most significant results. More specifically, momentum effects are stronger for more liquid REITs.

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Show all 23 references

Research works printed but not linked: 12

  1. 10.1111/1080-8620.00026 · doi:10.1111/1080-8620.00026
  2. 10.1111/1540-6229.00785 · doi:10.1111/1540-6229.00785
  3. Chan S.H., 1998, Institutional Investment in REITs: Evidence and Implications, Journal of Real Estate Research, 16, 357, 10.1080/10835547.1998.12090950 · doi:10.1080/10835547.1998.12090950
  4. Chase C., 2003, Working paper
  5. 10.2307/2331357 · doi:10.2307/2331357
  6. 10.1111/1540-6261.00524 · doi:10.1111/1540-6261.00524
  7. 10.1016/S0304-405X(96)00891-4 · doi:10.1016/s0304-405x(96)00891-4
  8. 10.1007/BF00174808 · doi:10.1007/bf00174808
  9. 10.1007/BF01098659 · doi:10.1007/bf01098659
  10. 10.1007/BF01099970 · doi:10.1007/bf01099970
  11. 10.1007/BF01097033 · doi:10.1007/bf01097033
  12. 10.1111/1540-6229.00717 · doi:10.1111/1540-6229.00717

Cited by

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Metadata

Authors
Chui, A. C. W., Titman, S., & Wei, K. C. J.
Venue
Real Estate Economics
Publisher
Wiley
Published
2003-08-12
Volume
31
Issue
3
Pages
451-479
ISSN
  • 1080-8620 (ISSN-L)
  • 1540-6229
DOI
10.1111/1540-6229.00073
OpenAlex
W3124501327
Cited by
518
References
23
FWCI
40.85
Type
journal article
Language
en
Open access
bronze
Licence
onlinelibrary.wiley.com/termsAndConditions#vor (vor)

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CoChat. (2026). Citation check: The Cross Section of Expected REIT Returns. https://app.cochat.ai/papers/10.1111/1540-6229.00073
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Chui, A. C. W., Titman, S., & Wei, K. C. J. (2003). The Cross Section of Expected REIT Returns. Real Estate Economics. https://doi.org/10.1111/1540-6229.00073

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