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The intent of this article is to update the performance evaluation of Real Estate Investment Trusts. This update is important for three reasons. First, REITs today are one type of vehicle that permits the analysis of real estate assets in a modern portfolio context. Second, the performance of REITs was considered exceptionally good in recent years on a risk-adjusted basis. This would suggest a market imperfection in the pricing of REIT shares which is difficult to support in light of the efficient market hypothesis. Third, recent studies on the performance of REITs have only covered time periods from 1963 to 1979 and an update to include the most recent six-year time period would offer valuable insight into REIT performance.
Kuhle et al. (Wed,) studied this question.