Advanced Search
MyIDEAS: Login to save this article or follow this journal

What Determines Stock Price Synchronicity in REITs?

Contents:

Author Info

  • Richard Chung
  • Scott Fung
  • James Shilling
  • Tammie Simmons-Mosley

    ()

Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If 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.
    File URL: http://hdl.handle.net/10.1007/s11146-010-9254-3
    Download Restriction: Access to full text is restricted to subscribers.

    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 Info

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

    Volume (Year): 43 (2011)
    Issue (Month): 1 (July)
    Pages: 73-98

    as in new window
    Handle: RePEc:kap:jrefec:v:43:y:2011:i:1:p:73-98

    Contact details of provider:
    Web page: http://www.springerlink.com/link.asp?id=102945

    Related research

    Keywords: Asset pricing; Synchronicity; Hedge funds; Other private financial institutions; G12; G20; G23;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    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.:
    as in new window
    1. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    2. Andrei Shleifer ad Robert W. Vishny, 1995. "The Limits of Arbitrage," Harvard Institute of Economic Research Working Papers 1725, Harvard - Institute of Economic Research.
    3. Kevin C.H. Chiang & Ming-Long Lee & Craig H. Wisen, 2005. "On the Time-Series Properties of Real Estate Investment Trust Betas," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 33(2), pages 381-396, 06.
    4. Jose A. Scheinkman & Wei Xiong, 2003. "Overconfidence and Speculative Bubbles," Journal of Political Economy, University of Chicago Press, vol. 111(6), pages 1183-1219, December.
    5. Papke, Leslie E & Wooldridge, Jeffrey M, 1996. "Econometric Methods for Fractional Response Variables with an Application to 401(K) Plan Participation Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 619-32, Nov.-Dec..
    6. Chan, Kalok & Hameed, Allaudeen, 2006. "Stock price synchronicity and analyst coverage in emerging markets," Journal of Financial Economics, Elsevier, vol. 80(1), pages 115-147, April.
    7. Artyom Durnev & Randall Morck & Bernard Yeung & Paul Zarowin, 2003. "Does Greater Firm-Specific Return Variation Mean More or Less Informed Stock Pricing?," Journal of Accounting Research, Wiley Blackwell, vol. 41(5), pages 797-836, December.
    8. Chanda, Anup & Maddala, G. S., 1983. "Methods of estimation for models of markets with bounded price variation under rational expectations," Economics Letters, Elsevier, vol. 13(2-3), pages 181-184.
    9. 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.
    10. Grossman, S J & Hart, O D, 1980. " Disclosure Laws and Takeover Bids," Journal of Finance, American Finance Association, vol. 35(2), pages 323-34, May.
    11. Del Guercio, Diane, 1996. "The distorting effect of the prudent-man laws on institutional equity investments," Journal of Financial Economics, Elsevier, vol. 40(1), pages 31-62, January.
    12. Alon Brav & Wei Jiang & Frank Partnoy & Randall Thomas, 2008. "Hedge Fund Activism, Corporate Governance, and Firm Performance," Journal of Finance, American Finance Association, vol. 63(4), pages 1729-1775, 08.
    13. Malpezzi, Stephen & Shilling, James D, 2000. "Institutional Investors Tilt Their Real Estate Holdings toward Quality, Too," The Journal of Real Estate Finance and Economics, Springer, vol. 21(2), pages 113-40, September.
    14. Maddala, G S, 1983. "Methods of Estimation for Models of Markets with Bounded Price Variation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(2), pages 361-78, June.
    15. Damodaran, Aswath & Liu, Crocker H, 1993. "Insider Trading as a Signal of Private Information," Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 79-119.
    16. Nagel, Stefan, 2005. "Short sales, institutional investors and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 78(2), pages 277-309, November.
    17. Jennifer E. Bethel & Julia Porter Liebeskind & Tim Opler, 1998. "Block Share Purchases and Corporate Performance," Journal of Finance, American Finance Association, vol. 53(2), pages 605-634, 04.
    18. Grossman, Sanford J & Stiglitz, Joseph E, 1976. "Information and Competitive Price Systems," American Economic Review, American Economic Association, vol. 66(2), pages 246-53, May.
    19. Eli Ofek & Matthew Richardson, 2002. "The Valuation and Market Rationality of Internet Stock Prices," Oxford Review of Economic Policy, Oxford University Press, vol. 18(3), pages 265-287.
    20. Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
    21. Stiglitz, Joseph E & Weiss, Andrew, 1981. "Credit Rationing in Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 71(3), pages 393-410, June.
    22. Diamond, Douglas W. & Verrecchia, Robert E., 1987. "Constraints on short-selling and asset price adjustment to private information," Journal of Financial Economics, Elsevier, vol. 18(2), pages 277-311, June.
    23. Jin, Li & Myers, Stewart C., 2006. "R2 around the world: New theory and new tests," Journal of Financial Economics, Elsevier, vol. 79(2), pages 257-292, February.
    24. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    25. Jonathan M. Karpoff, 2001. "Public versus Private Initiative in Arctic Exploration: The Effects of Incentives and Organizational Structure," Journal of Political Economy, University of Chicago Press, vol. 109(1), pages 38-78, February.
    26. Harrison Hong & Jeremy C. Stein, 1999. "A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets," Journal of Finance, American Finance Association, vol. 54(6), pages 2143-2184, December.
    27. Randall Morck & Bernard Yeung & Wayne Yu, 1999. "The Information Content of Stock Markets: Why Do Emerging Markets Have Synchronous Stock Price Movements?," Harvard Institute of Economic Research Working Papers 1879, Harvard - Institute of Economic Research.
    28. Figlewski, Stephen, 1981. "The Informational Effects of Restrictions on Short Sales: Some Empirical Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(04), pages 463-476, November.
    29. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
    30. Brent W. Ambrose & Michael J. Highfield & Peter D. Linneman, 2005. "Real Estate and Economies of Scale: The Case of REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 33(2), pages 323-350, 06.
    31. Paul A. Gompers & Andrew Metrick, 1998. "How Are Large Institutions Different from Other Investors? Why Do These Differences Matter?," Harvard Institute of Economic Research Working Papers 1830, Harvard - Institute of Economic Research.
    32. April Klein & Emanuel Zur, 2009. "Entrepreneurial Shareholder Activism: Hedge Funds and Other Private Investors," Journal of Finance, American Finance Association, vol. 64(1), pages 187-229, 02.
    33. Kerry D. Vandell, 1998. "Strategic Management of the Apartment Business in a Big REIT World," Wisconsin-Madison CULER working papers 98-06, University of Wisconsin Center for Urban Land Economic Research.
    34. Dennis R. Capozza & Paul J. Seguin, 1999. "Focus, Transparency and Value: The REIT Evidence," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(4), pages 587-619.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:kap:jrefec:v:43:y:2011:i:1:p:73-98. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).

    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.