We examine the market for U.S. equity real estate investment trusts (REITs) for evidence of the volatility effect, in … which low volatility stocks tend to outperform high volatility ones, as has been found in the general equity market by prior … research. While there is some evidence of a volatility effect in the first ten years of the sample, this disappears in a more …

-memory behavior is established for REITs volatility, although mean reversion is slower during and after the crisis. These results are …