The Predictability of Equity REIT Returns: Time Variation and Economic Significance

Posted: 14 Dec 1999

See all articles by David C. Ling

David C. Ling

University of Florida - Warrington College of Business Administration

Michael D. Ryngaert

University of Florida - Department of Finance, Insurance and Real Estate

Andy Naranjo

University of Florida - Warrington College of Business Administration

Abstract

This paper presents evidence on predictability of excess returns for equity REITs relative to the aggregate stock market, small capitalization stocks, and T-bills using best fit models from prior time periods. We find that excess equity REIT returns are far less predictable out-of-sample than in-sample. This inability to forecast out-of-sample is particularly true in the 1990s. Nevertheless, in the absence of transaction costs, active trading strategies based on out-of-sample predictions modestly outperfr om REIT buy-and-hold strategies. However, when transaction costs are introduced, profits from these active trading strategies largely disappear.

JEL Classification: G12

Suggested Citation

Ling, David Curtis and Ryngaert, Michael David and Naranjo, Andy, The Predictability of Equity REIT Returns: Time Variation and Economic Significance. The Journal of Real Estate Finance and Economics, Vol. 20, No. 2. Available at SSRN: https://ssrn.com/abstract=181610

David Curtis Ling

University of Florida - Warrington College of Business Administration ( email )

P.O. Box 117168
Gainesville, FL 32611
United States
352-392-9307 (Phone)
352-392-0301 (Fax)

Michael David Ryngaert

University of Florida - Department of Finance, Insurance and Real Estate ( email )

P.O. Box 117168
Gainesville, FL 32611
United States
352-392-9765 (Phone)

Andy Naranjo

University of Florida - Warrington College of Business Administration ( email )

P.O. Box 117168
Gainesville, FL 32611-7168
United States
352-392-3781 (Phone)

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