Scope and method of study. This study investigated the overall performance of lodging REITs during the period January 1993 to December 2005, relative to relevant industry benchmarks and other equity REITs. The Jensen Index was used to measure the performance of the various REIT sectors relative to the market benchmarks. The Tukey multiple comparison and a one way analysis of variance (ANOVA) were conducted to examine the performance of the various REIT sectors. Least Square Regression analysis was also employed.

Findings and conclusions. The results of the study indicated that overall, the performance of lodging REITs was inferior to the market portfolios as a whole. Conversely, the industrial and self storage segments of the equity REIT market over performed the market. The performance of lodging REITs was also found not to be persistent. These findings suggest that the lodging REIT sector might not be as recession resistant as the industrial or self storage sectors. In addition, the fact that these sectors performed better than the lodging sector could be an indication that investors might not be as confident in lodging REITs as compared to those sectors. This could be due to the fact that lodging REITs emerged as viable investment vehicles in 1993, while the sectors that over performed the market have traded in the marketplace for longer periods. The findings also suggest that investors should pay attention to the management of REITs as well as the management of the underlying assets. In this regard, it behooves investors, particularly institutional investors to recruit and hire investment managers who have proven track records of delivering exceptional returns.