Shareholder composition, share turnover, and returns in volatile markets: The case of international REITs
AbstractThe shareholder composition of listed property companies has changed from the fragmented, retail ownership, to more concentrated, institutional ownership over the past decade. In this paper, we first document significant variation in the composition of the shareholder base across the world's five largest listed property markets. We then examine the relation between the composition of the shareholder base and stock market performance and share turnover during the turbulent trading days of 2008 and 2009. By directly relating the shareholder base of firms to excess returns and turnover on these volatile days, we are able to isolate the importance of shareholder composition during periods when trading behavior is most likely to vary across different types of shareholders. We find that both large block holdings and high levels of institutional ownership decrease trading volumes and moderate stock returns; however, the effects largely occur when stock prices move sharply downward. Moreover, these effects are strongest when ownership concentration and institutional ownership exceed 25 percent. We also find that the disaggregation of institutional investors into distinct categories (banks, pension funds, advisors, etc.) increases our understanding of stock trading and share price dynamics of listed property companies.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of International Money and Finance.
Volume (Year): 31 (2012)
Issue (Month): 7 ()
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/30443
Shareholder identity; REITs; Volatility; Stock performance;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Brickley, James A. & Lease, Ronald C. & Smith, Clifford Jr., 1988. "Ownership structure and voting on antitakeover amendments," Journal of Financial Economics, Elsevier, vol. 20(1-2), pages 267-291, January.
- Bernard S. Black, 1992. "Institutional Investors And Corporate Governance: The Case For Institutional Voice," Journal of Applied Corporate Finance, Morgan Stanley, vol. 5(3), pages 19-32.
- Amil Dasgupta & Andrea Prat & Michela Verardo, 2011.
"Institutional Trade Persistence and Long‐Term Equity Returns,"
Journal of Finance,
American Finance Association, vol. 66(2), pages 635-653, 04.
- Amil Dasgupta & Andrea Prat & Michela Verardo, 2010. "Institutional Trade Persistence and Long-term Equity Returns," FMG Discussion Papers dp661, Financial Markets Group.
- Dasgupta, Amil & Prat, Andrea & Verardo, Michela, 2007. "Institutional Trade Persistence and Long-Term Equity Returns," CEPR Discussion Papers 6374, C.E.P.R. Discussion Papers.
- Clifford G. Holderness, 2003. "A survey of blockholders and corporate control," Economic Policy Review, Federal Reserve Bank of New York, issue Apr, pages 51-64.
- Demsetz, Harold & Villalonga, Belen, 2001. "Ownership structure and corporate performance," Journal of Corporate Finance, Elsevier, vol. 7(3), pages 209-233, September.
- John R. Nofsinger & Richard W. Sias, 1999. "Herding and Feedback Trading by Institutional and Individual Investors," Journal of Finance, American Finance Association, vol. 54(6), pages 2263-2295, December.
- Pound, John, 1988. "Proxy contests and the efficiency of shareholder oversight," Journal of Financial Economics, Elsevier, vol. 20(1-2), pages 237-265, January.
- Jungshik Hur & Mahesh Pritamani & Vivek Sharma, 2010. "Momentum and the Disposition Effect: The Role of Individual Investors," Financial Management, Financial Management Association International, vol. 39(3), pages 1155-1176, 09.
- Jensen, Michael C, 1986. "Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers," American Economic Review, American Economic Association, vol. 76(2), pages 323-29, May.
- Piet Eichholtz & Nils Kok, 2008. "How Does the Market for Corporate Control Function for Property Companies?," The Journal of Real Estate Finance and Economics, Springer, vol. 36(2), pages 141-163, February.
- Mehran, Hamid, 1995. "Executive compensation structure, ownership, and firm performance," Journal of Financial Economics, Elsevier, vol. 38(2), pages 163-184, June.
- Robert D. Campbell & Chinmoy Ghosh & C. F. Sirmans, 2001. "The Information Content of Method of Payment in Mergers: Evidence from Real Estate Investment Trusts (REITs)," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 29(3), pages 361-387.
- Morck, Randall & Shleifer, Andrei & Vishny, Robert W., 1988. "Management ownership and market valuation : An empirical analysis," Journal of Financial Economics, Elsevier, vol. 20(1-2), pages 293-315, January.
- Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
- H. Swint Friday & G. Stacy Sirmans & C. Mitchell Conover, 1999. "Ownership Structure and the Value of the Firm: The Case of REITs," Journal of Real Estate Research, American Real Estate Society, vol. 17(1), pages 71-90.
- Bing Han, 2006. "Insider Ownership and Firm Value: Evidence from Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 32(4), pages 471-493, June.
- Patrick J. Dennis & Deon Strickland, 2002. "Who Blinks in Volatile Markets, Individuals or Institutions?," Journal of Finance, American Finance Association, vol. 57(5), pages 1923-1949, October.
- Vivek Sharma & Jungshik Hur & Heiwai Lee, 2008. "Glamour Versus Value: Trading Behavior Of Institutions And Individual Investors," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 31(1), pages 65-84.
- Brad Case & William G. Hardin III & Zhonghua Wu, 2012. "REIT Dividend Policies and Dividend Announcement Effects During the 2008–2009 Liquidity Crisis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(3), pages 387-421, 09.
- Chan, Su Han & Erickson, John & Wang, Ko, 2002. "Real Estate Investment Trusts: Structure: Structure, Performance, and Investment Opportunities," OUP Catalogue, Oxford University Press, number 9780195155341.
- Dierkens, Nathalie, 1991. "Information Asymmetry and Equity Issues," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(02), pages 181-199, June.
- McConnell, John J. & Servaes, Henri, 1995. "Equity ownership and the two faces of debt," Journal of Financial Economics, Elsevier, vol. 39(1), pages 131-157, September.
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1992. "The impact of institutional trading on stock prices," Journal of Financial Economics, Elsevier, vol. 32(1), pages 23-43, August.
- H. Swint Friday & G. Stacy Sirmans, 1998. "Board of Director Monitoring and Firm Value in REITs," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 411-427.
- Edith S. Hotchkiss & Deon Strickland, 2003. "Does Shareholder Composition Matter? Evidence from the Market Reaction to Corporate Earnings Announcements," Journal of Finance, American Finance Association, vol. 58(4), pages 1469-1498, 08.
- Gibson, Scott & Safieddine, Assem & Sonti, Ramana, 2004. "Smart investments by smart money: Evidence from seasoned equity offerings," Journal of Financial Economics, Elsevier, vol. 72(3), pages 581-604, June.
- Jensen, Michael C. & Meckling, William H., 1976. "Theory of the firm: Managerial behavior, agency costs and ownership structure," Journal of Financial Economics, Elsevier, vol. 3(4), pages 305-360, October.
- Jay C. Hartzell & Libo Sun & Sheridan Titman, 2006. "The Effect of Corporate Governance on Investment: Evidence from Real Estate Investment Trusts," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 34(3), pages 343-376, 09.
- Barclay, Michael J & Holderness, Clifford G, 1991. " Negotiated Block Trades and Corporate Control," Journal of Finance, American Finance Association, vol. 46(3), pages 861-78, July.
- Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.