This study analyzes 545 entry and 459 exit events of publicly traded real estate investment trusts (REITs) during the period of 1973 to 2015 and examine if the stock market valuation and property market valuation of REITs affect the timing of REIT entry and exit. The evidence of this study indicates that more REITs enter (exit) the stock market when the estimated total returns of the income properties are low (high). The evidence also indicates that the general stock market performance does not seem to affect the net entries of equity REITs.  Mortgage REIT net entry seems not to be correlated with the mortgage interest rate nor with the stock market index during the same period.