Public Information, REIT Responses, Size, Leverage, and Focus
AbstractWe 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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Bibliographic InfoArticle provided by American Real Estate Society in its journal journal of Real Estate Research.
Volume (Year): 34 (2012)
Issue (Month): 4 ()
Contact details of provider:
Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
Web page: http://www.aresnet.org/
Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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