Cheng, Ping; Roulac, Stephen E. - In: International Real Estate Review 10 (2007) 2, pp. 23-41
This paper examines the relationship between return predictability and REIT characteristics. We build a multifactor model based on a set of firm-specific factors that include (1) Risk factors; (2) Liquidity factors; (3) Expensiveness; (4) Profitability; and (5) Return history. Our model...