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Market Microstructure and Real Estate Returns

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Author Info

  • Ko Wang
  • John Erickson
  • George Gau
  • Su Han Chan
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Abstract

This paper examines the Real Estate Investment Trust (REIT) market microstruc-ture and its relationship to stock returns. When compared with the general stock market, REIT stocks tend to have a lower level of institutional investor participation and are followed by fewer security analysts. In addition, REIT stocks that have a higher percentage of institutional investors or are followed by more security analysts tend to perform better than other REIT stocks. Our results seem to confirm Jensen's (1993, p. 868) proposition that ownership structure (that is, who owns the firm's securities) affects the value of the firm. Our findings also have implications about the well documented phenomenon that the financial performance of Commingled Real Estate Funds (CREFs) is better than that of REITs. Copyright American Real Estate and Urban Economics Association.

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Bibliographic Info

Article provided by American Real Estate and Urban Economics Association in its journal Real Estate Economics.

Volume (Year): 23 (1995)
Issue (Month): 1 ()
Pages: 85-100

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Handle: RePEc:bla:reesec:v:23:y:1995:i:1:p:85-100

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Citations

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Cited by:
  1. James Payne & George Waters, 2007. "Have Equity REITs Experienced Periodically Collapsing Bubbles?," The Journal of Real Estate Finance and Economics, Springer, vol. 34(2), pages 207-224, February.
  2. Kuang-Liang Chang & Nan-Kuang Chen & Charles Leung, 2011. "Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock," The Journal of Real Estate Finance and Economics, Springer, vol. 43(1), pages 221-257, July.
  3. Scott D. Below & Joseph K. Kiely & Willard McIntosh, 1995. "An Examination of Informed Traders and the Market Microstructure of Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 10(3), pages 335-361.
  4. Jonathan Wiley & Leonard Zumpano, 2009. "Institutional Investment and the Turn-of-the-Month Effect: Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 180-201, August.
  5. Crystal Lin & Hamid Rahman & Kenneth Yung, 2009. "Investor Sentiment and REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 39(4), pages 450-471, November.
  6. James Chong & Alexandra Krystalogianni & Simon Stevenson, 2012. "Dynamic correlations between REIT sub-sectors and the implications for diversification," Applied Financial Economics, Taylor & Francis Journals, vol. 22(13), pages 1089-1109, July.
  7. Scott D. Below & Joseph K. Kiely & Willard McIntosh, 1996. "REIT Pricing Efficiency; Should Investors Still Be Concerned?," Journal of Real Estate Research, American Real Estate Society, vol. 12(3), pages 397-412.
  8. Lawrence Fisher & Daniel G. Weaver & Gwendolyn Webb, 2012. "Removing Biases in Computed Returns: An Analysis of Bias in Equally-Weighted Return Indexes of REITs," International Real Estate Review, Asian Real Estate Society, vol. 15(1), pages 43-71.
  9. Paul Anglin & Robert Edelstein & Yanmin Gao & Desmond Tsang, 2011. "How Does Corporate Governance Affect the Quality of Investor Information? The Curious Case of REITs," Journal of Real Estate Research, American Real Estate Society, vol. 33(1), pages 1-24.
  10. Nai Jia Lee & Tien Foo Sing & Dinh Hoang Tran, 2013. "REIT Share Price and NAV Deviations: Noise or Sentiment?," International Real Estate Review, Asian Real Estate Society, vol. 16(1), pages 28-47.
  11. Yuming Li & Ko Wang, 1995. "The Predictability of REIT Returns and Market Segmentatio," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 471-482.
  12. Benjamas Jirasakuldech & Robert Campbell & John Knight, 2006. "Are There Rational Speculative Bubbles in REITs?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(2), pages 105-127, March.
  13. Benjamas Jirasakuldech & Robert Campbell & Riza Emekter, 2009. "Conditional Volatility of Equity Real Estate Investment Trust Returns: A Pre- and Post-1993 Comparison," The Journal of Real Estate Finance and Economics, Springer, vol. 38(2), pages 137-154, February.
  14. James Chong & Alexandra Krystalogianni & Simon Stevenson, . "Dynamic Correlations across REIT Sub-Sectors," Real Estate & Planning Working Papers rep-wp2011-07, Henley Business School, Reading University.
  15. Su Han Chan & Wai Kin Leung & Ko Wang, 1998. "Institutional Investment in REITs: Evidence and Implications," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 357-374.
  16. repec:ecu:wpaper:2009-04 is not listed on IDEAS
  17. Erik Devos & Seow Ong & Andrew Spieler, 2007. "Analyst Activity and Firm Value: Evidence from the REIT Sector," The Journal of Real Estate Finance and Economics, Springer, vol. 35(3), pages 333-356, October.

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