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The purpose of this paper is to study performance and market timing ability of equity real estate investment trusts (REITs).

The authors use classical regression‐based framework and their multi‐index, multifactor, and conditional extensions to jointly detect asset selectivity and market timing ability of equity REITs and their subcategories. These results are then validated by a nonparametric test.

It is found that equity REITs in aggregate have some housing market timing ability. Various equity REIT subcategories perform differently: office REITs can discover underpriced properties, while retail, industrial, and office REITs have poor timing ability. Nonparametric tests confirm that equity REITs do not have ability to predict real estate market movements.

Research in REIT performance evaluation is still limited to the asset selectivity aspect. This paper intends to fill this gap by providing empirical evidence of market timing ability of equity REITs using an array of parametric and nonparametric methods.

Real estate investment has been generally accepted as a value-adding proposition for a portfolio investor. Such an impression is not only shared by investment professionals and financial advisors but also appears to be supported by an overwhelming amount of research in the academic literature. The benefits of adding real estate as an asset class to a well-diversified portfolio are usually attributed to the respectable risk-return profile of real estate investment together with the relatively low correlation between its returns and the returns of other financial assets. By using the regime-switching technique on an extensive historical dataset, we attempt to look for the statistical evidence for such a claim. Unfortunately, the empirical support for the claim is neither strong nor universal. We find that any statistically significant improvement in risk-adjusted return is very much limited to the bullish environment of the real estate market. In general, the diversification benefit is not found to be statistically significant unless investors are relatively risk averse. We also document a regime-switching behavior of real estate returns similar to those found in other financial assets. There are two distinct states of the real estate market. The low-return (high-return) state is characterized by its high (low) volatility and its high (low) correlations with the stock market returns. We find this kind of dynamic risk characteristics to play a crucial role in dictating the diversification benefit from real estate investment.

The purpose of this paper is to examine the performance of 19 Malaysian Real Estate Investment Trusts (M-REITs) over the period 1999 to 2014, following the implementation of dividend tax reforms announced in the 2007, 2009 and 2012 budgets.

Sharpe index, Treynor index and Jensen α are utilized to compare the performance of M-REITs against a newly developed tax-adjusted value-weighted M-REITs index, equity market, property sector and three month Malaysia Treasury Bills (T-Bills). The calculation of M-REITs returns has been adjusted to take into account the dividend tax reforms which have never been considered in previous studies.

Most M-REITs outperform the tax-adjusted value-weighted REITs index, equity market, property sector and three month T-Bills. Property sector performs worst during those periods. Some of the M-REITs have a higher standard deviation than the equity market and the tax-adjusted value-weighted M-REITs index. Most M-REITs have a lower total risk than the property sector. Further analysis shows that before (after) the tax reforms, most M-REITs underperform (outperform) the other sectors. The introduction of the tax reforms benefits both REITs and investors. A significant positive Jensen α for some M-REITs indicates that fund managers are able to time the market or to select undervalued assets.

Findings of the study would enable investors to evaluate the performance of all REITs in comparison to other financial assets during the period of study for better investment decision making. A more accurate assessment on REITs performance that take into account the tax reforms, is available for investors and fund managers to decide on the investment mix to be included in their portfolio. Moreover, fund managers’ performance can be assessed whether they perform better or worse than the equity market, property sector and three month T-Bills.

This study contributes to the scant literature on dividend tax reforms and their implication toward REITs performance. It is the first study to thoroughly assess the returns of REITs by taking into account the changes on dividend tax rates announced in the 2007, 2009 and 2012 budgets.

This study aims to investigate the relationship between corporate governance (CG) and performance of Real Estate Investment Trust (REITs) in Singapore and Malaysia.

The CG attributes that contribute best toward R-Index scores are tested followed by analysis of whether R-Index scores contribute toward better performance of the REITs when controlled for growth, firm size and leverage. Regression analysis using structured equation modeling (SEM) is instituted.

All attributes in the R-Index except management ownership are significantly correlated to R-Index. Regression analysis using SEM reveals that all the three measures of performance are significant. When controlled for growth and firm size, CG mechanisms reduce the impact of losses. However, highly levered firms could be risky for investors despite strong CG mechanisms.

All S-REITs and M-REIT sampled were grouped as one regardless of the country differences, which may have limited the results and findings. The R-Index used to score the CG practices for Asia is still very new.

Findings of the study will help REIT policymakers to update scorecards frequently. Loss-making REITs must emphasize on specific CG attributes to enhance their overall CG scores to gain market confidence and procure financial assistance through better disclosure.

Due to research scarcity on CG effectiveness associated with performance of Asian REITs after the global financial crisis, this study comes as a timely contribution in understanding the relationship between CG and performance of REITs.

This study seeks to examine the market returns of five domestic real estate investment trust (REIT) indices to determine whether they exhibit a turn‐of‐the‐month (TOM) effect.

A test is carried out for the TOM effect by employing a battery of parametric and non‐parametric statistical tests that address the concerns of distributional assumption violations. An OLS regression model compares the TOM returns with the rest‐of‐the‐month (ROM) returns and an ANOVA model examines the TOM period while controlling for monthly seasonalities. A non‐parametric t‐test examines whether the TOM returns are greater than the ROM returns and a Wilcoxon signed rank test examines the matched‐pairs of TOM and ROM returns.

A TOM effect in all five domestic REIT indices is found: real estate 50 REIT, all‐REIT, equity REIT, hybrid REIT, and mortgage REIT. More specifically, the six‐day TOM period, on average, accounts for over 100 per cent of the monthly return for the three non‐mortgage REITs, while the ROM period generates a negative return. Additionally, the TOM returns are greater than the ROM returns in 75 per cent of the months.

The data are limited to five‐years of daily returns and five different indices. Thus, the results could be biased on the selected time period.

These results are important to REIT portfolio managers and investors. Domestic REIT markets experience a TOM effect from which investors and portfolio managers can benefit.

The daily returns of all five major domestic REIT indices are examined. Data are evaluated which include daily returns after the passage of the REIT Modernization Act of 1999 that resulted in numerous changes for REITs. Whether the TOM effect can be detected with both parametric and non‐parametric tests is examined.

This paper analyzes how three major industrial stock indices related to South Korean real estate industries are affected by the exogenous shock of the measures taken to control COVID-19, coupled with investor sentiment, which has global impacts.

The paper uses daily stock market indices on three major stock price indices: construction industry sector index, real estate operating company (REOC) industry index and the real estate investment trust (REIT) industry index of the Korea Stock Exchange (KRX), from January 8, 2020, when the World Health Organization (WHO) began to issue official indicators regarding COVID-19, to March 27, 2020, the last trading day of the week during which the South Korean government's stock market stabilisation fund was launched.

Results indicate the REIT sector's stock rate of return to be relatively less sensitive to impacts of COVID-19 compared to those of the two other indices. Impulse response analysis also shows similar results. Impulse response estimations indicate that earlier information of REITs has prominent significance in explaining changes in the time series process itself. Similar to findings of prior studies that have been conducted with long-term perspectives, results of our short-term study indicate that the medium-risk, medium-return characteristic of the real estate industry has significance even in short-term perspectives.

REITs can be an investment vehicle that provides strong benefits of diversified investment for mutual fund investment managers even in the case of short-term exogenous market disruptions.

The analysis run in the empirical exercise is the first to consider the sensibility between international stock exchanges to the effects of measures taken to control COVID-19 impact.

Under the current Coronavirus Disease 2019 (COVID-19) pandemic circumstances where the gold prices are increasing and the stocks are in free fall, this research aims to compare the returns of gold prices and Turkish real estate investment trust (T-REIT) index by covering the 2008 global financial crisis, 2018 Turkish currency crisis and 2020 COVID-19 pandemic-based economic crisis periods and examine the effects of the returns of gold and the T-REIT index on each other, a research area that has been limited in the literature.

For the empirical analysis, vector auto regression model was used, and Augmented Dickey–Fuller and Granger causality tests were also conducted. The average returns were compared with the coefficient of variation analysis.

The results of the study exhibited that except for the 2008 global financial crisis period, 2018 Turkish currency crisis and 2020 COVID-19 pandemic-based economic crisis, the T-REIT index performs better than gold prices, but it is a riskier instrument, and both investment instruments do not affect the returns of each other. The segmentation of both instruments recommends the fund managers including both tools for diversification of a portfolio.

In Turkey, gold prices are valued based on the fluctuations of the global gold prices, as well as the Turkish Lira/US Dollar currency exchange rates. The effect of the exchange rates may be considered in future studies, and the study may be conducted based on the USD values of the T-REIT index and global gold prices. Further studies may also include the comparison between the T-REIT index returns and a set of commodities such as the Goldman Sachs Commodity Index. This study covered only the first five months of 2020 to analyze the COVID-19 pandemic-based economic crisis initial effects, and a successor study is also recommended by including more new data of the post-COVID-19 pandemic and comparing both results.

The results of the research are expected to contribute to the REIT literature and give insight to investors about their investment choices while including both investment tools in their portfolio, especially for the future conditions of the new COVID-19 pandemic-based economic crisis.

The study may provide insight for individuals, especially those who are considering possible investment options in the Turkish real estate market in the post-COVID-19 pandemic crisis.

Gold and real estate have always been considered as important investment instruments. Gold is commonly accepted as a safe haven in the literature, and the REITs are considered as long-term investment instruments by many scholars. While gold prices increase in the windy periods, the returns of real estate investments have more cyclical movements based on mostly the macroeconomic conditions and its integration with stock markets, yet the real estate is a common long-term investment tool, especially because of the regular income it generates for the retirement years. By covering three crisis periods including the COVID-19 pandemic-based economic crisis effects, making research about two important investment tools would contribute to the literature, especially in which the studies in this area were very limited.

Real estate investment trusts (REITs) are historically considered as attractive assets to investors particularly as the underlying assets are properties which are income-producing. REITs also distribute substantial amount of profits as dividends to shareholders. Stephen and Simon (2005) find that REITs in a mixed asset portfolio of stocks and bonds enhance returns and reduce risk. This paper examines the role a pandemic (COVID-19) plays in the performance of global REITs index and REIT sectors.

To examine the effects of COVID-19 on REITs, the year-to-date (YTD) returns of global returns index and REITs sectors in the United States are observed and a comparative analysis is employed from January 2020 to May 2020.

Based on a three-month return ending 22 May 2020, FTSE EPRA NAREIT index is the biggest loser at −31.83% whilst the FTSE EPRA Asia–Pacific index has the lowest loss at −23.20%. The author examines YTD returns which show disparities on the effect of COVID-19 on REIT sectors. The US market is examined; most REIT sectors suffered big losses as at April 2020; the analysis reveals YTD returns for the top three REIT sector losers are lodging/resort REITs (−45.81%), retail REITs (−41.16%) and office REITs (−22.63%). Data centre REITs are the only sector REITs with positive returns at 17.66%.

Most sector REITs during the pandemic have lost considerable value based on YTD returns as at May 2020. Flight to quality is expected during this uncertain period to REITs such as data REITs, grocery-anchored REITs and storage REITs. These REITs are not as adversely affected by COVID-19 in comparison to other REITs.

This paper identified the impact of COVID-19 on the performance of global REITs and US sector REITs during the periods from January 2020 to May 2020.

Investment in Australia’s property market, whether directly or indirectly through Australian real estate investment trusts (A-REITs), grew remarkably since the 1990s. The degree of segregation between the property market and other financial assets, such as shares and bonds, can influence the diversification benefits within multi-asset portfolios. This raises the question of whether direct and indirect property investments are substitutable. Establishing how information transmits between asset classes and impacts the predictability of returns is of interest to investors. The paper aims to discuss these issues.

The authors study the linkages between direct and indirect Australian property sectors from 1985 to 2013, with shares and bonds. This paper employs an Autoregressive Fractionally Integrated Moving Average (ARFIMA) process to de-smooth a valuation-based direct property index. The authors establish directional lead-lag relationships between markets using bi-variate Granger causality tests. Johansen cointegration tests are carried out to examine how direct and indirect property markets adjust to an equilibrium long-term relationship and short-term deviations from such a relationship with other asset classes.

The authors find the use of appraisal-based property data creates a smoothing bias which masks the extent of how information is transmitted between the indirect property sector, stock and bond markets, and influences returns. The authors demonstrate that an ARFIMA process accounting for a smoothing bias up to lags of four quarters can overcome the overstatement of the smoothing bias from traditional AR models, after individually appraised constituent properties are aggregated into an overall index. The results show that direct property adjusts to information transmitted from market-traded A-REITs and stocks.

The study shows direct property investments and A-REITs are substitutible in a multi-asset portfolio in the long and short term.

The authors apply an ARFIMA(p,d,q) model to de-smooth Australian property returns, as proposed by Bond and Hwang (2007). The authors expect the findings will contribute to the discussion on whether direct property and REITs are substitutes in a multi-asset portfolio.

The purpose of this paper is to examine whether Real Estate Investment Trusts (REITs) returns on the different days of the week differ from each other.

It uses European Public Real Estate Association (EPRA)/National Association of Real Estate Investment Trusts (NAREIT) UK index daily closing values (GBP) and its two sub-indices FTSE EPRA/NAREIT UK REITs and non-REITs as dependent variables. It employs Kruskal-Wallis tests and dummy-variable regression to test the hypothesis.

The overall findings provide evidence that return anomalies exist in the UK REITs.

Thought significant, the absolute returns differences are modest for investors to gain superior returns in UK REITs. However, by recognising the day-of-the-week effect, investors can buy/sell UK REITs more effectively.

This research brings updated evidence of the contested calendar anomalies issues in REITs.