arbiter
JournalsAccount

Aggregate Investment, Economic Dynamics, and Predictability In the REIT Market

Weijian Liang et al.

Journal of Real Estate Finance and Economics2026https://doi.org/10.1007/s11146-025-10029-4article
AJG 3ABDC A
Weight
0.50

Abstract

This paper investigates whether aggregate investment predicts future market returns in the U.S. equity REIT sector. During more than half a century from 1972 to 2023 encompassing both vintage and new REIT eras, we find that a one-standard-deviation increase in aggregate investment, measured as value-weighted annual operating asset growth, signals an approximate 5.6% lower expected annual excess REIT market return. This predictability is robust to extensive controls, including valuation ratios, interest rates, other corporate policies, and investor sentiment. Further analysis supports a primary role for time-varying risk premia, showing that aggregate investment covaries negatively with economic uncertainty and predicts future economic growth dynamics in a hump-shaped pattern. While sentiment effects are present, they appear secondary, and the predictability is mainly driven by debt-financed investment. Our findings validate the investment-CAPM framework for REITs and identify aggregate investment as a robust predictor of REIT market dynamics.

Open via your library →

Cite this paper

https://doi.org/https://doi.org/10.1007/s11146-025-10029-4

Or copy a formatted citation

@article{weijian2026,
  title        = {{Aggregate Investment, Economic Dynamics, and Predictability In the REIT Market}},
  author       = {Weijian Liang et al.},
  journal      = {Journal of Real Estate Finance and Economics},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1007/s11146-025-10029-4},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

Aggregate Investment, Economic Dynamics, and Predictability In the REIT Market

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.