Abstract
Real estate investment trusts (REITs) provide a unique setting to study the impact of aggregate funding on momentum. REITs provide many of the same features of common stocks, but also include a dividend provision mandate, which may mitigate the illiquidity concerns that drive momentum patterns in common stocks. Overall, we found that REIT momentum was associated only with restrictive funding conditions. However, unlike in common stock, this effect can be explained by particularly strong performance of winner REITs during restrictive periods. Furthermore, we found that the strong performance of winner REITs in restrictive states was related to strong dividend performance. These results suggest that the unique income provision feature of REITs generates momentum patterns as aggregate funding availability is diminished.
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