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On The Comovement of REIT Prices

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  • Kevin C.H. Chiang

    ()
    (University of Vermont)

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    Abstract

    This study examines the comovement of equity real estate investment trust (REIT) prices in both the vintage (1980–1991) and the new (1992–2004) REIT eras. The results indicate that the comovement of equity REIT prices within the same property type has strengthened during the new REIT era. The results also indicate that, all else being equal, a high institutional participation, a low insider ownership, and a large market capitalization are associated with a high within-property-type price synchronicity. The evidence is consistent with two notions: (1) that increasing participation by institutional investors in the new REIT era facilitates the pricing of property-type common information on firm-level prices, and (2) that REITs’ information openness to institutional investing plays a role in this strengthened pricing relationship.

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    File URL: http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/past/vol32n02/03.187_200.pdf
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    Bibliographic Info

    Article provided by American Real Estate Society in its journal journal of Real Estate Research.

    Volume (Year): 32 (2010)
    Issue (Month): 2 ()
    Pages: 187-200

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    Handle: RePEc:jre:issued:v:32:n:2:2010:p:187-200

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    Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
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    Web page: http://www.aresnet.org/

    Order Information:
    Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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    Web: http://aux.zicklin.baruch.cuny.edu/jrer/about/get.htm

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