Short Interests in Real Estate Investment Trusts
We examine short interests in equity real estate investment trusts (REITs) between 1994 and 2001. Our results show that only high levels (the 90th percentile) of short interest are associated with significant negative REIT returns as the bearish content of short interest may have been mitigated by the favorable risk characteristics of real estate securities. In addition, the significant negative relationship between short interest and REIT returns applies only to REITs with poor performance. The result implies that the bearish sentiment of short interest could also be mitigated by good REIT managers in a real estate market that is informationally inefficient. The results of a logistic regression model further show that the short selling of REIT shares can be explained by firm-specific factors such as operating efficiency, fundamental value, and liquidity. Given that short interest is not indiscriminately associated with negative REIT returns and that the short positions are firm-specific, the results are consistent with implications that short interests in REITs represent attempts to make short-term profits rather than general bearishness regarding real estate investments.
Volume (Year): 7 (2004)
Issue (Month): 1 ()
|Contact details of provider:|| Postal: |
Web page: http://www.asres.org/
|Order Information:|| Postal: Asian Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA|
Web: http://www.asres.org/ Email:
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.:
- Paul Asquith & Parag A. Pathak & Jay R. Ritter, 2004. "Short Interest and Stock Returns," NBER Working Papers 10434, National Bureau of Economic Research, Inc.
- 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.
- Mark L. Mitchell & Erik Stafford, 1997.
"Managerial Decisions and Long-Term Stock Price Performance,"
CRSP working papers
453, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Mitchell, Mark L & Stafford, Erik, 2000. "Managerial Decisions and Long-Term Stock Price Performance," The Journal of Business, University of Chicago Press, vol. 73(3), pages 287-329, July.
- 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.
- Brent, Averil & Morse, Dale & Stice, E. Kay, 1990. "Short Interest: Explanations and Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(02), pages 273-289, June.
- Kothari, S. P. & Warner, Jerold B., 1997. "Measuring long-horizon security price performance," Journal of Financial Economics, Elsevier, vol. 43(3), pages 301-339, March.
- Barber, Brad M. & Lyon, John D., 1997. "Detecting long-run abnormal stock returns: The empirical power and specification of test statistics," Journal of Financial Economics, Elsevier, vol. 43(3), pages 341-372, March.
- 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.
- David H. Downs & Z. Nuray Güner, 1999. "Is the Information Deficiency in Real Estate Evident in Public Market Trading?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(3), pages 517-541.
- Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
When requesting a correction, please mention this item's handle: RePEc:ire:issued:v:07:n:01:2004:p:56-70. 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: (IRER Graduate Assistant/Webmaster)
If references are entirely missing, you can add them using this form.