Date of Award


Degree Type


Degree Name

Doctor of Philosophy (PhD)


Real Estate

First Advisor

Dr. Alan Ziobrowski - Chair

Second Advisor

Dr. Paul Gallimore

Third Advisor

Dr. Karen Gibler

Fourth Advisor

Dr. Thomas Springer


Using a sample of EREIT returns during the period 1993 to 2006 from the CRSP/Ziman REITs database, I construct portfolios of equity REITs based on past raw returns and evaluate their raw returns and risk-adjusted returns during the holding period for persistence. After adjusting for risk with Carhart (1997)’s 4-factor model, I find no evidence of persistence. By implication, a momentum strategy of buying historical winners and short-selling losers does not generate statistically significant abnormal returns. However, I do find strong evidence of performance reversal based on two-year and three-year ranking and holding periods. Consistent with DeBondt and Thaler (1985)’s overreaction theory, investors tend to overreact based on long-term rather than short-term performance records. This would suggest that investors tend to take a much longer period of time to formulate an opinion regarding a REIT’s performance record than previously assumed by earlier researchers. While there is a measurable tendency toward performance reversal, the return spread between the best performing EREITs and worst performing EREITs is marginal. This would indicate that the REIT markets are behaving in a generally efficient fashion. The investigation of the association of EREIT characteristics and performance persistence suggests a property type focus and geographic diversification strategy for EREITs. At the same time, EREITs with high leverage also tend to exhibit good performance persistently.

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Real Estate Commons