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Investor Sentiment and REIT Returns

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  • Crystal Lin

    ()

  • Hamid Rahman

    ()

  • Kenneth Yung

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11146-008-9115-5
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    Bibliographic Info

    Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

    Volume (Year): 39 (2009)
    Issue (Month): 4 (November)
    Pages: 450-471

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    Handle: RePEc:kap:jrefec:v:39:y:2009:i:4:p:450-471

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    Web page: http://www.springerlink.com/link.asp?id=102945

    Related research

    Keywords: Real estate investment trust; Investor sentiment; Institutional investors;

    References

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    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.:
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    1. Chui, Andy C. W. & Titman, Sheridan & Wei, K. C. John, 2003. "Intra-industry momentum: the case of REITs," Journal of Financial Markets, Elsevier, vol. 6(3), pages 363-387, May.
    2. Campbell, J.Y. & Kyle, A.S., 1988. "Smart Money, Noise Trading And Stock Price Behavior," Papers 95, Princeton, Department of Economics - Financial Research Center.
    3. Richard J. Barkham & Charles W. R. Ward, 1999. "Investor Sentiment and Noise Traders: Discount to Net Asset Value in Listed Property Companies in the U.K," Journal of Real Estate Research, American Real Estate Society, vol. 18(2), pages 291-312.
    4. William Hardin & Kartono Liano & Gow-Cheng Huang, 2005. "REIT Stock Splits and Market Efficiency," The Journal of Real Estate Finance and Economics, Springer, vol. 30(3), pages 297-315, April.
    5. Below, Scott D & Stansell, Stanley R & Coffin, Mark, 2000. "The Determinants of REIT Institutional Ownership: Tests of the CAPM," The Journal of Real Estate Finance and Economics, Springer, vol. 21(3), pages 263-78, November.
    6. Leonid Kogan & Stephen Ross & Jiang Wang & Mark Westerfield, 2003. "The Price Impact and Survival of Irrational Traders," NBER Working Papers 9434, National Bureau of Economic Research, Inc.
    7. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2005. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," NBER Working Papers 11803, National Bureau of Economic Research, Inc.
    8. Edward Nelling & Joseph Gyourko, 1998. "The Predictability of Equity REIT Returns," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 251-268.
    9. David H. Downs, 1998. "The Value in Targeting Institutional Investors: Evidence from the Five-or-Fewer Rule Change," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(4), pages 613-649.
    10. Dennis R. Capozza & Sohan Lee, 1996. "Portfolio Characteristics and Net Asset Values in REITs," Canadian Journal of Economics, Canadian Economics Association, vol. 29(s1), pages 520-26, April.
    11. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    12. 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.
    13. Swanson, Zane & Theis, John & Casey, K Michael, 2002. "REIT Risk Premium Sensitivity and Interest Rates," The Journal of Real Estate Finance and Economics, Springer, vol. 24(3), pages 319-30, May.
    14. K.C. Chan & Patric H. Hendershott & Anthony B. Sanders, 1990. "Risk and Return on Real Estate: Evidence from Equity REITs," NBER Working Papers 3311, National Bureau of Economic Research, Inc.
    15. Hirshleifer, David & Subrahmanyam, Avanidhar & Titman, Sheridan, 2004. "Feedback and the Success of Irrational Investors," Working Paper Series 2004-8, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    16. 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.
    17. Neal, Robert & Wheatley, Simon M., 1998. "Do Measures of Investor Sentiment Predict Returns?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(04), pages 523-547, December.
    18. Liu, Crocker H & Mei, Jianping, 1992. "The Predictability of Returns on Equity REITs and Their Co-movement with Other Assets," The Journal of Real Estate Finance and Economics, Springer, vol. 5(4), pages 401-18, December.
    19. 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.
    20. James Payne, 2003. "Shocks to macroeconomic state variables and the risk premium of REITs," Applied Economics Letters, Taylor & Francis Journals, vol. 10(11), pages 671-677.
    21. De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990. "Noise Trader Risk in Financial Markets," Scholarly Articles 3725552, Harvard University Department of Economics.
    22. Devaney, Michael, 2001. "Time varying risk premia for real estate investment trusts: A GARCH-M model," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(3), pages 335-346.
    23. Ko Wang & John Erickson & George Gau & Su Han Chan, 1995. "Market Microstructure and Real Estate Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 23(1), pages 85-100.
    24. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
    25. Marc Simpson & Sanjay Ramchander & James Webb, 2007. "The Asymmetric Response of Equity REIT Returns to Inflation," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 513-529, May.
    26. 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.
    27. Andy C. W. Chui & Sheridan Titman & K. C. John Wei, 2003. "The Cross Section of Expected REIT Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(3), pages 451-479, 09.
    28. James D. Peterson & Cheng-Ho Hsieh, 1997. "Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(2), pages 321-345.
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    Cited by:
    1. Ming-Chi Chen & Chi-Lu Peng & So-De Shyu & Jhih-Hong Zeng, 2012. "Market States and the Effect on Equity REIT Returns due to Changes in Monetary Policy Stance," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 364-382, August.
    2. 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.
    3. 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.

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