Purpose: This paper aims to contribute to knowledge by investigating the return behaviour of seven global real estate investment trusts (REITs) with respect to the appropriate distributional fit that captures tail and shape characteristics. The study adds to the knowledge of distributional...

Purpose The purpose of this paper is to provide empirical evidence on the long-memory behaviour of South African real estate investment trusts (SAREITs). Design/methodology/approach The study employs a battery of advanced techniques to examine the behaviour of returns of 29 SAREIT equities...