Purpose - The purpose of this paper is to study performance and market timing ability of equity real estate investment trusts (REITs). Design/methodology/approach - The authors use classical regression-based framework and their multi-index, multifactor, and conditional extensions to jointly...

Purpose – The purpose of this paper is to study performance and market timing ability of equity real estate investment trusts (REITs). Design/methodology/approach – The authors use classical regression‐based framework and their multi‐index, multifactor, and conditional extensions to...