We examine the determinants of REIT returns in a highly developed trade-oriented market economy - Singapore. For the period from 2004 to 2013, we conduct panel data analyses on the impacts of REIT characteristics and macroeconomic factors on the returns of Singapore Real Estate Investment Trusts (S-REITs). Our results indicate that the returns of S-REITs are affected by the book-to-market value but not earnings per share, the debt-to-equity ratio, or the dividend yield. From the macroeconomic perspective, both local and international economic conditions, including the gross domestic product, inflation rate, exchange rate, and money supply are significantly related to the returns of S-REITs, indicating that the market of S-REITs is an imperfectly integrated one.