"I think there's a trade-off between what the assets are worth and what the management is worth," says John R. Nikolich, managing director of Mercury Partners LLC, whose firm based here and in Greenwich, CT provides investment banking, financial advisory services and equity research to real estate owners. "What is the value of management? Ten percent? That's an important thing to look at."

So is the capitalization rate used to establish a value of the real estate, Nikolich adds, as even a 25-basis-point uptick can significantly reduce its worth.

A REIT investor's due diligence should include a look at insider trading, Nikolich suggests. For example, when REITs were declared "dead money" compared to the high-flying NASDAQ issues in 1998-99, insiders were buying shares of their companies' stock, often with loans. In the second quarter of 2000, "shrewd money" was buying REIT shares Nikolich considered depressed. Now, when REITs are being touted as a hot ticket to double-digiti returns, Nikolich has noticed insiders are sellers.