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Volume 37, Number 2, 2015

What Drives REIT Prices? The Time-Varying Informational Content of Dividend Yields

Kevin C.H. Chiang
315 Kalkin Hall
School of Business Administration
University of Vermont
55 Colchester Avenue, Burlington
VT 05405-0157






This study investigates the informational content in the dividend yields of equity real estate investment trusts (REITs). The study finds that during the vintage REIT era, 1980-1992, expected aggregate REIT dividend growth is forecastable from aggregate REIT dividend yields at both short and long horizons. This empirical predictive relation is negative, which is consistent with the usual prediction of the dividend pricing model. In contrast, over the new REIT era, 1993-2011, we observe the emergence of a positive predictive relation from dividend yields to aggregate REIT returns. Meanwhile, REIT dividend yield cedes its role in predicting aggregate REIT dividend growth.

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