We analyze a specifically designed dataset in order to measure the performance of a sample of 129 US REITs in Equity property sector over the most recent property cycle (2001-‐2013). We adopt a multi-‐factor asset pricing model to examine the impact on the REITs’ total excess returns, investment decisions measured by Jensen’s alpha and leverage. Investment decisions are reflected by timing leverage decisions based upon the expectation of future market trends. Our analysis results are in support of the hypotheses that i) REITs performance is highly correlated with the return on the broad US market, ii) there is evidence for systematic underperformance as measured by Jensen’s alpha, iii) leverage strategy can make contributions to the performance of US REITs as a whole, but its benefit effect is not evident in sectors including healthcare, industrial and residential, and iv) timing leverage strategies to the anticipated future market conditions has positive effect on the performance of US REITs
