Executive Summary. This paper tests the efficiency of the market for Real Estate Investment Trusts (REITs) from 1972 to the present. The data is segmented chronologically to take into account the effect of the Tax Reform Act of 1986 and the effect of the explosive growth in market capitalization that began in the early 1990s. The findings indicate that efficiency increases over time for Equity REITs and the Russell 2000 Index of small capitalization stocks. Some predictability, but not necessarily inefficiency, persists for Mortgage REITs and Hybrid REITs.
No takes yet. Share an insight, caveat, or question.
Jirasakuldech et al. (2005) studied this question.
Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context: