Asymmetric dynamics in REIT prices: Further evidence based on quantile regression analysis

- We examine whether mean reversion in REIT prices presents an asymmetric behavior.
- Different from previous works, a state-of-the-art quantile unit-root test is used.
- Conducting this effort enables us to identify financial asset predictability.
- Mean reversion exists for higher prices, while random walk exists for lower prices.
- The higher the price is, the faster the speed of mean reversion will be.

This study examines whether mean reversion in REIT prices presents an asymmetric behavior across various quantiles. Distinguished from previous literature that applied the traditional linear unit-root test, a state-of-the-art quantile unit-root test is employed to identify financial asset predictability in five real estate investment trust (REIT) classifications. Our empirical results reveal a distinct pattern that mean reversion is found for those relatively high REIT prices, while random walk properties only exist for those relatively low REIT prices. More specifically, the higher the price is, the faster the speed of mean reversion of REIT toward its long-run equilibrium will be.