This study examines whether income sources contribute to real estate investment trust (REIT) abnormal returns by testing for evidence on profits that depend on the revenue source. Our research measures the contribution that rental income, interest income, sales of property income and commission income hold over the returns, and discover how these income drivers behave when analyzing Asian and U.S. REITs. A panel data regression analysis is applied to a sample of 6864 quarterly observations from 2006 to 2016, divide it into three different time periods (pre, in, and after subprime crisis). We used LS regression model, and Quantile regression to investigate the relationship. Empirical results show statistically significant linear relation between REIT returns and income sources in some sub periods in Malaysia, Japan, Hong Kong, Australia and the U.S.

This study examines whether income sources contribute to real estate investment trust (REIT) abnormal returns by testing for evidence on profits that depend on the revenue source. Our research measures the contribution that rental income, interest income, sales of property income and commission income hold over the returns, and discover how these income drivers behave when analyzing Asian and U.S. REITs. A panel data regression analysis is applied to a sample of 6864 quarterly observations from 2006 to 2016, divide it into three different time periods (pre, in, and after subprime crisis). We used LS regression model, and Quantile regression to investigate the relationship. Empirical results show statistically significant linear relation between REIT returns and income sources in some sub periods in Malaysia, Japan, Hong Kong, Australia and the U.S.

Alcock, Jamie and Andrilikova, Petra (2017). Asymmetric Dependence in Real Estate Investment Trust: An Asset-Pricing Analysis. Journal of Real Estate Finance and Economics DOI 10.1007/s11146-016-9593-9
Alcock, Jamie and Steiner, Eva (2017). Fundamental Drivers of Dependence in REIT returns. Journal of Real Estate Finance and Economics DOI 10.1007/s11146-016-9562-3
Alcock, Jamie., Glascock, John and Steiner, Eva (2013). Manipulation in U.S. REIT Investment Performance Evaluation: Empirical Evidence. Journal of Real Estate Finance and Economics 47:434–465
Botosan, C. A. (1997). Disclosure level and the cost of equity capital. The Accounting Review 72(3), 323–350
Breusch, T., and Pagan, A. (1980). The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics. Review of Economic Studies, 19(1), pp. 239-253.
Campbell, Robert D., Petrova, Milena and Sirman, C.F. (2003). Wealth Effects of Diversification and Financial Deal Structuring: Evidence from REIT Property Portfolio Acquisitions. Real Estate Economics. V31 3: pp. 347–366.
Campbell, Robert D., Petrova, Milena and Sirmans, C.F. (2006) Value Creation in REIT Property Sell-Offs. Real Estate Economics. V34 2: pp. 329–342.
Cheong, Chee Seng., Gerlach, Richard., Stevenson, Simon. Wilson, Patric J. and Zurbruegg, Ralf (2009). Equity and fixed income markets as drivers of securitized real estate. Review of Financial Economics 18 103–111.
Cutler, D. M., Poterba, J. M. and Summers, L. H. (1989). What moves stock prices? Journal of Portfolio Management V45 3: pp. 4-12.
Dempsey, Stephen J., Harrison, David M., Luchtenberg, Kinberly F. and Seiler, Michael J. (2012) Financial Opacity and Firm Performance: The readability of REIT annual reports. Journal of Real Estate Finance and Economics 45:450–470.
Hausman, J.A., and Taylor, W.E. (1981). Panel Data and Unobservable Individual Effects. Econometrica, 49(6), pp. 1377-1398.
Koenker, R 2004, ‘Quantile regression for longitudinal data’. Journal of Multivariate Analysis, 92, 74 – 89.
Liow, K.H. 2012. Co-movements and Correlation as Across Asian Securitized Real Estate and Stock Markets. Real Estate Economics 40(1): 97–129
Liu, Crocker H., Mei, Jianping (1992). The Predictability of Returns on Equity REITs and Their Co-Movement with Other Assets. Journal of Real Estate Finance and Economics, 5:401-418
Menkhoff, Lukas (1998). The noise trading approach—questionnaire evidence from foreign exchange. Journal of International Money and Finance 17: 547–564
Michelson, Stuart E., Jordan-Wagner, James and Wotton, Charles W. (200). The relationship between the smoothing of reported income and risk-adjusted returns. Journal of Real Estate Finance and Economics V2 24:141-159
Muhlhofer, Tobias (2010). They Would if They Could: Assessing the Bindingness of the Property Holding Constraints for REITs. Kelley School of Business, Indiana University, Working Paper
Muhlhofer, Tobias (2013). Why Do REIT Returns Poorly Reflect Property Returns? Unrealizable Appreciation Gains due to Trading Constraints as the Solution to the Short-Term Disparity. Real Estate Economics. V41 4: pp. 814–857
Muhlhofer, Tobias., Ukhov, Andrew D. (2009). Do Stock Prices Move too Much to be Justified by Changes in Dividends? Evidence from Real Estate Investment Trusts. SSRN Electronic Journal · November 2010 DOI: 10.2139/ssrn.1361931
Pagliari, Joseph l. Jr., Webb, James R. (1995). A Fundamental Examination of Securitized and Unsecuritized Real Estate. Journal of Real Estate Research. V10 4: pp 381-426
Payne, James E., Waters, George A. (2007). Have Equity REITs Experienced Periodically
Collapsing Bubbles? Journal of Real Estate Finance and Economics. 34:207–224
Poterba, James M (1999). The rate of return to corporate capital and factor shares: new estimates using revised national income accounts and capital stock data. NBER, Working Paper
Scott, O Louis (1990) Do Prices Reflect Market Fundamentals in Real Estate Markets? Journal of Real Estate Finance and Economics, 3:5-23
Yong, Jaime and Singh, Abhay (2014). Interest Rate Risk of Australian REITS: A Panel Analysis. Edith Cowan University, Working paper.
Yung, Kenneth and Nafar Nadia (2017). Investor attention and the expected returns of REITs. International Review of Economics and Finance 48 (2017) 423–439
Yunus, N. 2009. Increasing Convergence Between U.S. and International Securitized Property Markets: Evidence Based on Cointegration Tests. Real Estate Economics 37(3): 383–411