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Paper eres2005_184:
Momentum Profitability and Market Trend: Evidence from REITs

id eres2005_184
authors Glascock, John L. and Szu-Yin Hung
year 2005
title Momentum Profitability and Market Trend: Evidence from REITs
source Book of Abstracts: 2005 European Real Estate Society conference in association with the International Real Estate Society
summary This study investigates REIT's momentum returns in different market states, and explains the momentum phenomenon with a risk-based dividend growth theory of Johnson (2002). 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 that conditioning on different market states, 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 the 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 time-varying factors (market states) and cross-sectional variance in dividend yields.
series ERES:conference
type normal paper
discussion No discussions. Post discussion ...
session Session J1
last changed 2008/11/01 09:47
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