Akinsomi, KolaAye, Goodness ChiomaBabalos, VassiliosEconomou, FotiniGupta, Rangan2016-04-262016-11Akinsomi, K, Aye, GC, Babalos, V, Economou, F & Gupta, R 2016, 'Real estate returns predictability revisited : novel evidence from the US REITs market', Empirical Economics, vol. 51, no. 3, pp. 1165-1190.0377-7332 (print)1435-8921 (online)10.1007/s00181-015-1037-5http://hdl.handle.net/2263/52174In this paper we examine the real estate returns predictability employing US Real Estate Investment Trusts (REITs) and a set of possible predictors for the period January 1991 to December 2014. To this end we employ several forecasting models to test for REITs predictability under a flexible framework that captures parameter instability. Apart from the traditional factors examined in relevant studies, we also account for a series of sentiment and uncertainty indicators that may be significant predictors of REITs returns, especially during turbulent times when sentiment determines investment decisions to a greater extent. The empirical results indicate that the good predictors of REITs returns vary over time and over the forecast horizons. Our results suggest that economy-wide indicators, monetary policy instruments and sentiment indicators are among the most powerful predictors of REITs returns. In economic terms an investment strategy that is based on our forecasts outperforms a buy and hold strategy. The issue of the most suitable forecasting method is also discussed in detail. Our results might entail implications for investors and market authorities.en© Springer-Verlag Berlin Heidelberg 2016. The original publication is available at http://link.springer.comjournal/181.Real estate investment trust (REIT)Return predictabilityDynamic model averagingUncertainty indicatorPostprint Article