- An, X., Y. Deng, J.D. Fisher, and M.R. Hu. Commercial Real Estate Rental Index: A Dynamic Panel Data Model Estimation. PREA/RERI Working Paper, 2012.
- Anderson, R.I., V. Boney, and H. Guirguis. The Impact of Switching Regimes and Monetary Shocks: An Empirical Analysis of REITs. Journal of Real Estate Research, 2012, 34:2, 157-81. The Impact of Switching Regimes and Monetary Shocks: An Empirical Analysis of REITs Journal of Real Estate Research 34 157
- Ball, R. and P. Brown. An Empirical Evaluation of Accounting Income Numbers. Journal of Accounting Research, 1968, 6:2, 159-78. An Empirical Evaluation of Accounting Income Numbers Journal of Accounting Research 6 159 78
- Below, S.D., J.K. Kiely, and W. McIntosh. REIT Pricing Efficiency; Should Investors Still Be Concerned? Journal of Real Estate Research, 1996, 12:3, 397-412. REIT Pricing Efficiency; Should Investors Still Be Concerned? Journal of Real Estate Research 12 397 412
- Bernard, V. and J. Thomas. Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? Journal of Accounting Research, 1989, 27, 1-36. Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? Journal of Accounting Research 27 1 36
- Bernard, V. and J. Thomas. Evidence that Stock Prices Do Not Fully Reflect the Implications of Current Earnings for Future Earnings. Journal of Accounting and Economics, 1990, 13:4, 305-40. Evidence that Stock Prices Do Not Fully Reflect the Implications of Current Earnings for Future Earnings Journal of Accounting and Economics 13 305 40
- Campbell, J.Y., T. Ramadorai, and A. Schwartz. Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements. Journal of Financial Economics, 2009, 92: 1, 66-91. Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements Journal of Financial Economics 92 66 91
- Capozza, D.R. and R.D. Israelsen. Predictability in Equilibrium: The Price Dynamics of Real Estate Investment Trusts. Real Estate Economics, 2007, 35:4, 541-67. Predictability in Equilibrium: The Price Dynamics of Real Estate Investment Trusts Real Estate Economics 35 541 67
- Carhart, M.M. On the Persistence of Mutual Fund Performance. Journal of Finance, 1997, 52:1, 57-82. On the Persistence of Mutual Fund Performance Journal of Finance 52 57 82
- Case, K.E. and R.J. Shiller. The Efficiency of the Market for Single-Family Homes. American Economic Review, 1989, 79:1, 125-37. The Efficiency of the Market for Single-Family Homes American Economic Review 79 125 37
- Chan, L.K.C., N. Jegadeesh, and J. Lakonishok. Momentum Strategies. Journal of Finance, 1996, 51:5, 1681-1713. Momentum Strategies Journal of Finance 51 1681 1713
- Chatrath, A., R.A. Christie-David, and S. Ramchander. Public Information, REIT Responses, Size, Leverage, and Focus. Journal of Real Estate Research, 2012, 34:4, 463-513. Public Information, REIT Responses, Size, Leverage, and Focus Journal of Real Estate Research 34 463 513
- Chiang, K.C.H. On the Comovement of REIT Prices. Journal of Real Estate Research, 2010, 32:2, 187-200. On the Comovement of REIT Prices Journal of Real Estate Research 32 187 200
- Chordia, T., A. Goyal, G. Sadka, R. Sadka, and L. Shivakumar. Liquidity and the Post-Earnings-Announcement Drift. Financial Analysts Journal, 2009, 65:4, 18-32. Liquidity and the Post-Earnings-Announcement Drift Financial Analysts Journal 65 18 32
- Chordia, T. and L. Shivakumar. Inflation Illusion and Post-Earnings-Announcement Drift. Journal of Accounting Research, 2005, 43:4, 521-56. Inflation Illusion and Post-Earnings-Announcement Drift Journal of Accounting Research 43 521 56
- Chordia, T. Earnings and Price Momentum. Journal of Financial Economics, 2006, 80:3, 627-56 Earnings and Price Momentum Journal of Financial Economics 80 627 56
- Chou, Y.H. and Y.C. Chen. Is the Response of REIT Returns to Monetary Policy Asymmetric? Journal of Real Estate Research, 2013, 36:1, 109-36. Is the Response of REIT Returns to Monetary Policy Asymmetric? Journal of Real Estate Research 36 109 36
- Chui, A.C.W., S. Titman, and K.C.J. Wei. Intra-industry Momentum: The Case of REITs. Journal of Financial Markets, 2003a, 6:3, 363-87. Intra-industry Momentum: The Case of REITs Journal of Financial Markets 6 363 87
- Chui, A.C.W. The Cross-Section of Expected REIT Returns. Real Estate Economics, 2003b, 31:3, 451-79. The Cross-Section of Expected REIT Returns Real Estate Economics 31 451 79
- Daniel, K. and S. Titman. Evidence on the Characteristics of Cross-Sectional Variation in Stock Returns. Journal of Finance, 1997, 52:1, 1-33. Evidence on the Characteristics of Cross-Sectional Variation in Stock Returns Journal of Finance 52 1 33
- Daniel, K. Characteristics or Covariances? Journal of Portfolio Management, 1998, 24:4, 24-33. Characteristics or Covariances? Journal of Portfolio Management 24 24 33
- Derwall, J., J. Huij, D. Brounen, and W. Marquering. REIT Momentum and the Performance of Real Estate Mutual Funds. Financial Analysts Journal, 2009, 65:5, 24-34. REIT Momentum and the Performance of Real Estate Mutual Funds Financial Analysts Journal 65 24 34
- Fama, E.F. Market Efficiency, Long-Term Returns, and Behavioral Finance. Journal of Financial Economics, 1998, 49:3, 283-306. Market Efficiency, Long-Term Returns, and Behavioral Finance Journal of Financial Economics 49 283 306
- Fama, E.F. and K.R. French. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 1993, 33:1, 3-56. Common Risk Factors in the Returns on Stocks and Bonds Journal of Financial Economics 33 3 56
- Fama, E.F. Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, 1996, 51: 1, 55-84. Multifactor Explanations of Asset Pricing Anomalies Journal of Finance 51 55 84
- Fama, E.F. and J. Macbeth. Risk and return: Some Empirical Tests. Journal of Political Economy, 1973, 81:3, 607-36. Risk and return: Some Empirical Tests Journal of Political Economy 81 607 36
- Feng, Z., S.M. Price, and C.F. Sirmans. An Overview of Equity Real Estate Investment Trusts (REITs): 1993-2009. Journal of Real Estate Literature, 2011, 19:2, 307-43. An Overview of Equity Real Estate Investment Trusts (REITs): 1993-2009 Journal of Real Estate Literature 19 307 43
- Foster, G., C. Olsen, and T. Shevlin. Earnings Releases, Anomalies, and the Behavior of Security Returns. The Accounting Review, 1984, 59:4, 574-603. Earnings Releases, Anomalies, and the Behavior of Security Returns The Accounting Review 59 574 603
- Glascock, J.L., C. Lu, and R.W. So. REIT Returns and Inflation: Perverse or Reverse Causality Effects? Journal of Real Estate Finance and Economics, 2002, 24:3, 301-17. REIT Returns and Inflation: Perverse or Reverse Causality Effects? Journal of Real Estate Finance and Economics 24 301 17
- Goebel, P.R., D.M. Harrison, J.M. Mercer, and R.J. Whitby. REIT Momentum and Characteristic-Related REIT Returns. Journal of Real Estate Finance and Economics, 2012, 47:3, 564-81. REIT Momentum and Characteristic-Related REIT Returns Journal of Real Estate Finance and Economics 47 564 81
- Graff, R.A. and M.S. Young. Serial Persistence in Equity REIT Returns. Journal of Real Estate Research, 1997, 14:3, 183-214. Serial Persistence in Equity REIT Returns Journal of Real Estate Research 14 183 214
- Hartzell, J.C., J.G. Kallberg, and C.H. Liu. The Role of Corporate Governance in Initial Public Offerings: Evidence from Real Estate Investment Trusts. Journal of Law and Economics, 2008, 51:3, 539-62. The Role of Corporate Governance in Initial Public Offerings: Evidence from Real Estate Investment Trusts Journal of Law and Economics 51 539 62
- Hung, S.Y.K. and J.L. Glascock. Momentum Profitability and Market Trend: Evidence from REITs. Journal of Real Estate Finance and Economics, 2008, 37:1, 51-70. Momentum Profitability and Market Trend: Evidence from REITs Journal of Real Estate Finance and Economics 37 51 70
- Hung, S.Y.K. and J.L. Glascock. Volatilities and Momentum Returns in Real Estate Investment Trusts. Journal of Real Estate Finance and Economics, 2010, 41:2, 126-49. Volatilities and Momentum Returns in Real Estate Investment Trusts Journal of Real Estate Finance and Economics 41 126 49
- Jegadeesh, N. and S. Titman. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 1993, 48:1, 65-91. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency Journal of Finance 48 65 91
- Jegadeesh, N. Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. Journal of Finance, 2001, 56:2, 699-720. Profitability of Momentum Strategies: An Evaluation of Alternative Explanations Journal of Finance 56 699 720
- Ke, B. and S. Ramalingegowda. Do Institutional Investors Exploit the Post-earnings Announcement Drift? Journal of Accounting and Economics, 2005, 39:1, 25-53. Do Institutional Investors Exploit the Post-earnings Announcement Drift? Journal of Accounting and Economics 39 25 53
- Modigliani, F. and R.A. Cohn. Inflation, Rational Valuation and the Market. Financial Analysts Journal, 1979, 35:2, 24-44. Inflation, Rational Valuation and the Market Financial Analysts Journal 35 24 44
- Mueller, G.R. and K.R. Pauley. The Effect of Interest-Rate Movements on Real Estate Investment Trusts. Journal of Real Estate Research, 1995, 10:3, 319-25. The Effect of Interest-Rate Movements on Real Estate Investment Trusts Journal of Real Estate Research 10 319 25
- Price, S.M., D.H. Gatzlaff, and C.F. Sirmans. Information Uncertainty and the Post-Earnings-Announcement Drift Anomaly: Insights from REITs. Journal of Real Estate Finance and Economics, 2012, 44:1/2, 250-74. Information Uncertainty and the Post-Earnings-Announcement Drift Anomaly: Insights from REITs Journal of Real Estate Finance and Economics 44 250 74
- Sadka, R. Momentum and Post-earnings-announcement Drift Anomalies: The Role of Liquidity Risk. Journal of Financial Economics, 2006, 80:2, 309-49. Momentum and Post-earnings-announcement Drift Anomalies: The Role of Liquidity Risk Journal of Financial Economics 80 309 49
- Schwert, G.W. Anomalies and Market Efficiency. G.M. Constantinides, M. Harris, and R. Stulz (eds.), Handbook in Economic and Finance. Amsterdam, The Netherlands: Elsevier, 2003. Handbook in Economic and Finance
- Sias, R.W. Reconcilable Differences: Momentum Trading by Institutions. Financial Review, 2007, 42:1, 1-22. Reconcilable Differences: Momentum Trading by Institutions Financial Review 42 1 22
- Simpson, M.W., S. Ramchander, and J.R. Webb. The Asymmetric Response of Equity REIT Returns to Inflation. Journal of Real Estate Finance and Economics, 2007, 34:4, 513-29. The Asymmetric Response of Equity REIT Returns to Inflation Journal of Real Estate Finance and Economics 34 513 29
- Stevenson, S. Momentum Effects and Mean Reversion in Real Estate Securities. Journal of Real Estate Research, 2002, 23:1/2, 47-64. Momentum Effects and Mean Reversion in Real Estate Securities Journal of Real Estate Research 23 47 64
- Yunus, N. Modeling Relationships among Securitized Property Markets, Stock Markets, and Macroeconomic Variables. Journal of Real Estate Research, 2012, 34:2, 127-56. Modeling Relationships among Securitized Property Markets, Stock Markets, and Macroeconomic Variables Journal of Real Estate Research 34 127 56
The Relation between Momentum and Drift: Industry-Level Evidence from Equity Real Estate Investment Trusts (REITS)
Reprints and Corporate Permissions
Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?
To request a reprint or corporate permissions for this article, please click on the relevant link below:
Academic Permissions
Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?
Obtain permissions instantly via Rightslink by clicking on the button below:
If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.
Related research
People also read lists articles that other readers of this article have read.
Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.
Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.