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Public Information, REIT Responses, Size, Leverage, and Focus

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Author Info

  • Arjun Chatrath

    ()
    (University of Portland)

  • Rohan A. Christie-David

    ()
    (University of Louisville)

  • Sanjay Ramchander

    ()
    (Colorado State University)

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    Abstract

    We evaluate REIT responses to the release of REIT-specific and macroeconomic news over two periods with differing economic climates. More specifically, using high-frequency data we track the response function over a period of sixty minutes following each announcement. Tests show REIT-specific information to have larger, and in many instances opposite effects to that of macroeconomic news. REITs also tend to be more sensitive to public information when the economy experiences a downturn. REIT size, leverage, and focus play an important mediating role between REIT trading activity and public information.

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    File URL: http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/new_current/vol34n04/02.463_514.pdf
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    Bibliographic Info

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

    Volume (Year): 34 (2012)
    Issue (Month): 4 ()
    Pages: 463-514

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    Handle: RePEc:jre:issued:v:34:n:4:2012:p:463-514

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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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