This paper examines the relationship between return predictability and REIT characteristics. We build a multifactor model based on a set of firm-specific factors that include (1) Risk factors; (2) Liquidity factors; (3) Expensiveness; (4) Profitability; and (5) Return history. Our model demonstrates the capability of predicting the ?winners? and the ?losers,? with fairly high consistency. Given the large return differences uncovered by the model, and the fundamental characteristics of the ?winners? versus the ?losers,? it is unlikely that strong results are artifacts of a biased methodology.