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Speculative Trading In Reits

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  • Benjamin M. Blau
  • Ryan J. Whitby

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  • Benjamin M. Blau & Ryan J. Whitby, 2014. "Speculative Trading In Reits," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 37(1), pages 55-74, February.
    • Handle: RePEc:bla:jfnres:v:37:y:2014:i:1:p:55-74
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    File URL: http://hdl.handle.net/10.1111/jfir.12028
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    References listed on IDEAS

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    1. Kicki Björklund & Bo Söderberg, 1999. "Property Cycles, Speculative Bubbles and the Gross Income Multiplier," Journal of Real Estate Research, American Real Estate Society, vol. 18(1), pages 151-174.
    2. Ajinkya, Bipin B. & Jain, Prem C., 1989. "The behavior of daily stock market trading volume," Journal of Accounting and Economics, Elsevier, vol. 11(4), pages 331-359, November.
    3. Jian Zhou & Randy Anderson, 2013. "An Empirical Investigation of Herding Behavior in the U.S. REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 83-108, July.
    4. Han, Bing & Kumar, Alok, 2013. "Speculative Retail Trading and Asset Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(2), pages 377-404, April.
    5. Lo, Andrew W & Wang, Jiang, 2000. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 257-300.
    6. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    7. Driessen, Joost & Van Hemert, Otto, 2012. "Pricing of commercial real estate securities during the 2007–2009 financial crisis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 37-61.
    8. Guillermo Llorente & Roni Michaely & Gideon Saar & Jiang Wang, 2002. "Dynamic Volume-Return Relation of Individual Stocks," The Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1005-1047.
    9. Albert Wang, F., 2010. "Informed arbitrage with speculative noise trading," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 304-313, February.
    10. Stein, Jeremy C, 1987. "Informational Externalities and Welfare-Reducing Speculation," Journal of Political Economy, University of Chicago Press, vol. 95(6), pages 1123-1145, December.
    11. Karl Case & John Cotter & Stuart Gabriel, 2010. "Housing Risk and Return: Evidence From a Housing Asset-Pricing Model," Working Papers 201005, Geary Institute, University College Dublin.
    12. Cready, William M. & Ramanan, Ramachandran, 1991. "The power of tests employing log-transformed volume in detecting abnormal trading," Journal of Accounting and Economics, Elsevier, vol. 14(2), pages 203-214, June.
    13. Richardson, Gordon & Sefcik, Stephan E. & Thompson, Rex, 1986. "A test of dividend irrelevance using volume reactions to a change in dividend policy," Journal of Financial Economics, Elsevier, vol. 17(2), pages 313-333, December.
    14. Tegene, Abebayehu & Kuchler, Frederick R, 1993. "Evidence on the Existence of Speculative Bubbles in Farmland Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 6(3), pages 223-236, May.
    15. MeiChi Huang, 2013. "The Role of People’s Expectation in the Recent US Housing Boom and Bust," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 452-479, April.
    16. Erik Devos & Seow-Eng Ong & Andrew Spieler & Desmond Tsang, 2013. "REIT Institutional Ownership Dynamics and the Financial Crisis," The Journal of Real Estate Finance and Economics, Springer, vol. 47(2), pages 266-288, August.
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    Cited by:

    1. Bouri, Elie & Gupta, Rangan & Lahiani, Amine & Shahbaz, Muhammad, 2018. "Testing for asymmetric nonlinear short- and long-run relationships between bitcoin, aggregate commodity and gold prices," Resources Policy, Elsevier, vol. 57(C), pages 224-235.
    2. Bariviera, Aurelio F., 2017. "The inefficiency of Bitcoin revisited: A dynamic approach," Economics Letters, Elsevier, vol. 161(C), pages 1-4.

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