{"id":3732,"date":"2023-04-03T17:48:47","date_gmt":"2023-04-03T09:48:47","guid":{"rendered":"http:\/\/www.gssinst.org\/irer\/?p=3732"},"modified":"2025-12-03T02:33:05","modified_gmt":"2025-12-02T18:33:05","slug":"anomalies-in-u-s-reit-returns-evidence-for-and-against-the-q-theory","status":"publish","type":"post","link":"https:\/\/www.gssinst.org\/irer\/2023\/04\/03\/anomalies-in-u-s-reit-returns-evidence-for-and-against-the-q-theory\/","title":{"rendered":"Anomalies in U.S. REIT Returns: Evidence for and against the Q-theory"},"content":{"rendered":"\t\t<div data-elementor-type=\"wp-post\" data-elementor-id=\"3732\" class=\"elementor elementor-3732\" data-elementor-settings=\"[]\">\n\t\t\t\t\t\t<div class=\"elementor-inner\">\n\t\t\t\t\t\t\t<div class=\"elementor-section-wrap\">\n\t\t\t\t\t\t\t<section class=\"elementor-section elementor-top-section elementor-element elementor-element-6b084dbc elementor-section-boxed elementor-section-height-default elementor-section-height-default\" data-id=\"6b084dbc\" data-element_type=\"section\">\n\t\t\t\t\t\t<div class=\"elementor-container elementor-column-gap-default\">\n\t\t\t\t\t\t\t<div class=\"elementor-row\">\n\t\t\t\t\t<div class=\"elementor-column elementor-col-100 elementor-top-column elementor-element elementor-element-47d15be8\" data-id=\"47d15be8\" data-element_type=\"column\">\n\t\t\t<div class=\"elementor-column-wrap elementor-element-populated\">\n\t\t\t\t\t\t\t<div class=\"elementor-widget-wrap\">\n\t\t\t\t\t\t<div class=\"elementor-element elementor-element-73767d13 elementor-widget elementor-widget-text-editor\" data-id=\"73767d13\" data-element_type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<div class=\"elementor-text-editor elementor-clearfix\"><div class=\"article_label\">Article<\/div><p class=\"article_title\">Anomalies in U.S. REIT Returns: Evidence for and against the Q-theory<\/p><div><p class=\"title_label_large\">Author<\/p><p class=\"title_label_large\">Start Page \/ End Page<\/p><p class=\"title_label\">Volume<\/p><p class=\"title_label\">Issue Number<\/p><p class=\"title_label\">Year<\/p><p class=\"title_label_large\">Publication<\/p><\/div><div><p><!-- Author \/ StartEndPage \/ Volume \/ IssueNumber \/ Year \/ Publication --><\/p><p class=\"title_text_large\">Wikrom Prombutr, Chanwit Phengpis, Ying Zhang<\/p><p class=\"title_text_large\">43 \/ 71<\/p><p class=\"title_text\">26<\/p><p class=\"title_text\">1<\/p><p class=\"title_text\">2023<\/p><p class=\"title_text_large\">International Real Estate Review<\/p><\/div><div class=\"empty\">\u00a0<\/div><p class=\"abstract_label\">Abstract<\/p><p>Among the well-known asset pricing anomalies in U.S. common stocks (i.e. size, value, momentum, investment, and profitability), only investment and momentum premiums are significant in the REIT industry. According to the q-theory, the investment effect turns significant because REIT firms tend to expand (extract) their assets when discount rates are low (high), thereby investment has statistical power to explain for REIT returns. Even though the insignificant effect of probability in REITs challenges the explanation of the q-theory, we provide evidence that profitability, in fact, controls the momentum. Our results indicate market inefficiency as investors who have a better understanding of the significant investment and momentum premiums perform better than others.<\/p><p>\u00a0<\/p><p><!-- PDF DownloadLink --><\/p><p class=\"download\"><a href=\"http:\/\/www.gssinst.org\/irer\/wp-content\/uploads\/2023\/04\/v26-no1-2_Anomalies-in-U.S.-REIT-Returns.pdf\"><strong>View PDF -https:\/\/doi.org\/10.53383\/100356<\/strong><\/a><\/p><div class=\"empty\">\u00a0<\/div><div>\u00a0<\/div><div><p class=\"abstract_label\">Keywords<\/p><p>Asset Pricing, Q-Theory of Investment, REITs, Cross Section of Expected Returns, Market Efficiency<\/p><\/div><div>\u00a0<\/div><\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t","protected":false},"excerpt":{"rendered":"<p>Article Anomalies in U.S. REIT Returns: Evidence for and against the Q-theory Author Start Page \/ End Page Volume Issue&hellip;<\/p>\n","protected":false},"author":6,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"article-template.php","format":"standard","meta":[],"categories":[249,248],"tags":[],"_links":{"self":[{"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/posts\/3732"}],"collection":[{"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/users\/6"}],"replies":[{"embeddable":true,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/comments?post=3732"}],"version-history":[{"count":3,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/posts\/3732\/revisions"}],"predecessor-version":[{"id":4655,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/posts\/3732\/revisions\/4655"}],"wp:attachment":[{"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/media?parent=3732"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/categories?post=3732"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/tags?post=3732"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}