REIT performance and market timing ability

Buttimer, Richard J.; Chiang, I‐Hsuan Ethan

doi:10.1108/03074351211201415

Cited by 5 publications

(4 citation statements)

References 69 publications

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“…Several studies also support Jegadeesh and Titman's (1993) momentum factor as being significant in explaining REIT returns (e.g. Chui et al, 2003a,b;Hung & Glascock, 2008Derwall et al, 2009;Zhou & Ziobrowski, 2009;Buttimer et al, 2012). According to Chui et al (2003b), who analysed the performance of U.S. REITs between 1984 and 2000, the REIT momentum effect is even stronger than momentum effects encountered in other US industries.…”

Section: Reits and The Efficient Market Hypothesismentioning

confidence: 95%

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A Review of Corporate Social Responsibility and Real Estate Investment Trust Studies: An Australian Perspective

Westermann

Niblock

Kortt

2018

J of App Econs and Policy

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The aim of this paper is to review empirical findings in the literature relating to corporate social responsibility (CSR) and real estate investment trust (REIT) performance. Specifically, we synthesise CSR‐focused REIT performance studies in an attempt to establish empirical approaches utilised in the academic literature, present findings, identify relevant gaps and reveal themes for future research. The literature focusing on the CSR of REITs to‐date has primarily focused on corporate governance, sustainability and performance, with the latter concentrating on firm‐level financial consequences rather than investment return performance. The review showed that there has been limited empirical research conducted on the relationship between CSR and risk‐adjusted returns of REITs, particularly in Australia.

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Section: Reits and The Efficient Market Hypothesismentioning

confidence: 95%

“…Several studies also support Jegadeesh and Titman's () momentum factor as being significant in explaining REIT returns (e.g. Chui et al ., ,; Hung & Glascock, , ; Derwall et al ., ; Zhou & Ziobrowski, ; Buttimer et al ., ). According to Chui et al .…”

Section: Reits and The Efficient Market Hypothesismentioning

confidence: 97%

A Review of Corporate Social Responsibility and Real Estate Investment Trust Studies: An Australian Perspective

Westermann

Niblock

Kortt

2018

J of App Econs and Policy

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“…Weinbaum (2009) similarly find that the performance of lodging REITs do not measure up to the broader market, except with the ideal market timing of investment. Buttimer et al (2012) find that hospitality REITs have the lowest performance and highest volatility among REIT portfolios. On the positive side, Howton et al (2012) found that earlier studies did not fully consider property-level performance and suggest that property-level bottom line performance of REIT owned lodging properties is better than privately owned.…”

Section: Hospitality Reitmentioning

confidence: 86%

Hospitality REITs and financial crisis: a comprehensive assessment of market quality

Jain

Robinson²,

Singh

et al. 2017

JPIF

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Purpose The purpose of this paper is to examine market microstructure differences in stock market quality for hospitality real estate investment trusts (REITs) during the pre- and post-financial crisis eras. It provides insight on different trading strategies based on the underlying liquidity and volatility of hospitality REITs as compared traditional REITs and the broader market. Design/methodology/approach The paper uses established microstructure measures for liquidity, trading volumes and risk assessment and compares daily and intraday trading patterns of REITs, hospitality REITs and the broad market. Findings The results suggest a quicker recovery of performance for hospitality REITs and some fundamental increases in liquidity measures post-crisis. The results of the study highlight the differences in trading volumes, liquidity and risk profile of hospitality REITs compared to traditional REITs both in the pre- and post-financial crisis periods. Practical implications The quicker recovery of hospitality REITs in key trading measures may suggest flight to quality during periods of high volatility. Originality/value This study fills the gap in the literature relative to microstructure studies and provides information to help hotel firms and portfolio managers choose an appropriate organizational structure and investment vehicle, respectively.

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“…Kon, 1983; Chang and Lewellen, 1984; Henriksson, 1984; Ferson and Schadt, 1996; Cuthbertson et al , 2010; Mansor and Bhatti, 2014; Panda et al , 2015; Unal and Tan, 2015; Yi et al , 2018) find weak to no evidence of market timing in various markets; while others (e.g. Treynor and Mazuy, 1966; Kon and Jen, 1978; Lee and Rahman, 1990; Bello and Janjigian, 1997; Bollen and Busse, 2001; Comer, 2006; Glassman and Riddick, 2006; Jiang et al , 2007; Buttimer et al , 2012; Glabadanidis, 2014; Vidal et al , 2015; Liao et al , 2017; Andreu et al , 2018) suggest market timing abilities exist for some types of funds after controlling for factors such as liquidity, industry and portfolio.…”

Section: Introductionmentioning

confidence: 99%

Impact of economic and market factors on the market liquidity timing ability of mutual fund managers in Turkey

Yalcin

Dube

2021

IJOEM

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PurposeThe authors examine whether Turkish fund managers employ liquidity timing along with market return timing, and if additional economic and market factors could affect their timing abilities, to help explain the contradictory results in literature vis-a-vis market timing ability.Design/methodology/approachThe authors apply panel data analyses, with interaction terms and incorporating structural breaks, to monthly data for 96 out of 131 Turkish variable mutual funds which have available data for the sample period of 2011–2018. The authors employ the Amihud (2002) illiquidity measure to study market liquidity timing ability along with how additional economic and market factors affect this ability.FindingsThe authors find liquidity timing to be the performance enhancing method employed by Turkish variable fund managers in conjunction with market timing and that evidence for market timing may depend on whether structural breaks, that may be present in returns, are incorporated in the analysis. The authors also find that economic, technology and market-related factors affect timing abilities of fund managers.Research limitations/implicationsConclusions are for Turkey, for the sample period studied, and for the control factors selected based on literature.Practical implicationsIt is important to understand the role of market liquidity in making investment decisions and the paper contributes toward an understanding of how managers design their timing strategies in order to enhance portfolio performance, as well as the impact of additional factors on their ability to time market returns and liquidity. This is also important for evaluating fund managers' performance in terms of contribution to portfolio value.Originality/valueTo the authors knowledge this is the first study on Turkish markets to employ liquidity timing in the context of panel data analyses using interaction terms, as well as structural breaks, to distinguish the extent of liquidity timing from return timing, while incorporating the effect of additional factors on timing ability.

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REIT performance and market timing ability

Cited by 5 publications

References 69 publications

A Review of Corporate Social Responsibility and Real Estate Investment Trust Studies: An Australian Perspective

A Review of Corporate Social Responsibility and Real Estate Investment Trust Studies: An Australian Perspective

Hospitality REITs and financial crisis: a comprehensive assessment of market quality

Impact of economic and market factors on the market liquidity timing ability of mutual fund managers in Turkey

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