We dissect REIT NAV premiums and examine their relation to expected returns. More than half of the cross-sectional variation in NAV premiums can be explained by readily observable company characteristics, such as size, property type, location, leverage, and profitability. We empirically decompose NAV premiums into characteristics-driven (fitted) and sentiment-driven (orthogonalized) components. The transient, sentiment-driven component of NAV premiums is strongly negatively related to future returns, whereas the stable, characteristics-driven component is a very weak positive predictor of returns. A long-short investment strategy that purchases (sells short) REITs with the lowest (highest) sentiment- driven NAV premiums generates 9% per year, which is 3% per year more than a strategy based on the raw NAV premium. These results shed light on the role of investor sentiment in REIT pricing and have important implications for REIT active investment management.

我们剖析REIT资产净值溢价，并检查其与预期收益的关系。资产净值溢价的横截面变化中，一半以上可以通过易于观察的公司特征来解释，例如规模，财产类型，位置，杠杆和盈利能力。我们根据经验将资产净值溢价分解为特征驱动（拟合）和情绪驱动（正交）组成部分。资产净值溢价的瞬态，情绪驱动成分与未来收益强烈负相关，而特征驱动的稳定成分则是非常弱的正相关。回报的预测指标。购买（卖空）具有最低（最高）市场情绪驱动的资产净值溢价的REIT的多空投资策略每年产生9％，比基于原始资产净值溢价的策略每年多3％。这些结果揭示了投资者情绪在房地产投资信托定价中的作用，并对房地产投资信托的积极投资管理具有重要意义。