Momentum Profitability and Market Trend: Evidence from REITs

Momentum Profitability and Market Trend: Evidence from REITs This study investigates Real Estate Investment Trusts’ momentum returns in different market states, and explains the momentum phenomenon with a risk-based dividend growth theory of Johnson (Journal of Finance 57:585–608, 2002). Our results show that momentum returns of REITs are higher during up markets. This study finds that winners’ dividend/price ratios are higher than those of losers, and momentum returns are positively correlated with the difference between winners’ and losers’ dividend/price ratios. We also find that momentum returns are higher after the legislation change of REITs in 1992, and that dividend/price ratios of REITs are also higher after 1992, suggesting that a persistent shock to REIT’s dividend/price ratios in 1992 partly explains REITs’ higher momentum returns after 1992. In sum, results of this study suggest that momentum returns of REITs can be jointly explained by a time-varying factor (market state) and a cross-sectional variance in dividend yields. The Journal of Real Estate Finance and Economics Springer Journals

Momentum Profitability and Market Trend: Evidence from REITs

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Springer US
Copyright © 2007 by Springer Science+Business Media, LLC
Economics; Regional/Spatial Science; Financial Services
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