The Relation between Momentum and Drift: Industry-Level Evidence from Equity Real Estate Investment Trusts (REITs)

44 Pages Posted: 1 Dec 2011 Last revised: 14 Aug 2014

See all articles by Zhilan Feng

Zhilan Feng

Union College

S. McKay Price

Lehigh University - Perella Department of Finance

C. F. Sirmans

Florida State University - Department of Risk Management, Insurance, Real Estate & Business Law

Date Written: May 15, 2013

Abstract

We examine the industry-level relation between the two dominant asset pricing anomalies, the continuation of past price movements (momentum) and the incomplete reaction to earnings news (post-earnings-announcement drift). With the former having long been established in REIT returns, and the latter having only recently been documented, we show that the two returns phenomena are highly related in both the cross-section and time-series of industry-level returns, and the relation is negative. Additionally, the payoff to a REIT drift strategy largely dominates the payoff to a REIT momentum strategy in terms of greater economic magnitude and statistical significance.

Keywords: Momentum, Post-Earnings-Announcement Drift, Anomalies, Market Efficiency, Real Estate Investment Trusts, REITs

JEL Classification: D80, G10, G11, G12, G14

Suggested Citation

Feng, Zhilan and Price, S. McKay and Sirmans, C. F., The Relation between Momentum and Drift: Industry-Level Evidence from Equity Real Estate Investment Trusts (REITs) (May 15, 2013). Journal of Real Estate Research, Vol. 36, No. 3, pp 383-407, 2014. Available at SSRN: https://ssrn.com/abstract=1966246 or http://dx.doi.org/10.2139/ssrn.1966246

Zhilan Feng

Union College ( email )

Schenectady, NY 12308-3151
United States

S. McKay Price (Contact Author)

Lehigh University - Perella Department of Finance ( email )

621 Taylor Street
Bethlehem, PA 18015
United States
610-758-4787 (Phone)

HOME PAGE: http://www.mckayprice.com

C. F. Sirmans

Florida State University - Department of Risk Management, Insurance, Real Estate & Business Law ( email )

Tallahasse, FL 32306
United States
850 644-4076 (Phone)

HOME PAGE: http://www.cob.fsu.edu/rmi

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