This study is to examine the efficiency market hypothesis (EMH) for Asia-Pacific REIT market between 2007 and 2014. The examination is carried out by analyzing monthly Asia-Pacific REIT data with three-factor model (Fama & French, 1993). The Asia-Pacific markets are the following 9 markets: Australia, Hong Kong, Japan, Korea, New Zealand, Malaysia, Singapore, Taiwan, and Thailand. Our empirical results suggest that (i) there is a positive size effect on Asia-Pacific REITs during 2007-2014; (ii) value factor cannot be used as a REIT return indicator; (iii) Asia-Pacific REIT markets might be in weak form efficiency; and (iv) investors can benefit from size effect by using historical information.

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