ABSTRACT Given the ongoing changes in the REIT industry, we have analyzed the return behavior of the equity REIT, mortgage REIT, and S&P 500 indices using monthly data for the period of 19722001, to see if previously identified return patterns still hold for REITs relative to stocks. Following a large monthly gain, investors can benefit by adopting a momentum buying strategy for stocks or mortgage REITs, but not for equity REITs. Investors can also profitably employ a mean reversion strategy for any of the three indices. Indications for the existence of exploitable calendar effects were found all three markets indices. While the general pattern of seasonality effects differs across indices, a positive January effect, negative August and October effect were found in all index return series for several subperiods. Our findings also suggest that both equity REITS and mortgage REITS can enhance the risk/return relationship of a general stock portfolio. However, equity REITs clearly dominate mortgage REITs on a risk-return basis and compare favorably with stocks. The correlation coefficients between all three asset classes are similar, but the relationship between stocks and equity REITs has lessened over time.