This study investigates REIT's momentum returns in different market states, and explains the momentum phenomenon with a risk-based dividend growth theory of Johnson (2002). Results show that momentum returns of REITs are higher during up markets. This study finds that winners' dividend/price ratios are higher than those of losers, and that conditioning on different market states, momentum returns are positively correlated with the difference between winners' and losers' dividend/price ratios. We also find that momentum returns are higher after the legislation change of REITs in 1992, and that dividend/price ratios of REITs are also higher after 1992, suggesting that the persistent shock to REIT's dividend/price ratios in 1992 partly explains REITs' higher momentum returns after 1992. In sum, results of this study suggest that momentum returns of REITs can be jointly explained by time-varying factors (market states) and cross-sectional variance in dividend yields.
Glascock, John L., and Szu-Yin Hung. "Momentum Profitability and Market Trend: Evidence from REITs." In Book of Abstracts: 2005 European Real Estate Society conference in association with the International Real Estate Society. ERES: Conference. Dublin, Ireland, 2005.
Section: Session J1