The Relation between Momentum and Drift: Industry-Level Evidence from Equity Real Estate Investment Trusts (REITs)
44 Pages Posted: 1 Dec 2011 Last revised: 14 Aug 2014
Date Written: May 15, 2013
We examine the industry-level relation between the two dominant asset pricing anomalies, the continuation of past price movements (momentum) and the incomplete reaction to earnings news (post-earnings-announcement drift). With the former having long been established in REIT returns, and the latter having only recently been documented, we show that the two returns phenomena are highly related in both the cross-section and time-series of industry-level returns, and the relation is negative. Additionally, the payoff to a REIT drift strategy largely dominates the payoff to a REIT momentum strategy in terms of greater economic magnitude and statistical significance.
Keywords: Momentum, Post-Earnings-Announcement Drift, Anomalies, Market Efficiency, Real Estate Investment Trusts, REITs
JEL Classification: D80, G10, G11, G12, G14
Suggested Citation: Suggested Citation