REIT Share Price and NAV Deviations: Noise or Sentiment?
This paper empirically tests the sentiment and ¡§noise¡¨ effects in Singapore REITs (S-REIT) over the periods from January 2005 to December 2010.Our empirical results show that trading volume is significantly and negatively correlated with price to net asset value (P/NAV) premiums in the contemporary term. However, lagged trading volume is found to have positive effects on P/NAV premiums, which imply that herd activities of uninformed investors in the last period drive up REIT stock prices. The finding supports the sentiment hypothesis, but rejects the fundamental argument on P/NAV deviations. We find that the sentiment effects are asymmetric. The sentiment effects are not observed in the ¡§hot¡¨ markets during the pre-subprime crisis periods. However, the negative relations between trading volume and P/NAV premiums disappear in the post-crisis periods in 2008.
Volume (Year): 16 (2013)
Issue (Month): 1 ()
|Contact details of provider:|| Postal: Asia Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA|
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:
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.:
- Peijie Wang & Colin Lizieri & George Matysiak, 1997. "Information asymmetry, long-run relationship and price discovery in property investment markets," The European Journal of Finance, Taylor & Francis Journals, vol. 3(3), pages 261-275.
- J.B. Chay & Charles Trzcinka, 1997.
"Managerial Performance and the Cross-Sectional Pricing of Closed-End Funds,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
96-20, New York University, Leonard N. Stern School of Business-.
- Chay, J. B. & Trzcinka, Charles A., 1999. "Managerial performance and the cross-sectional pricing of closed-end funds," Journal of Financial Economics, Elsevier, vol. 52(3), pages 379-408, June.
- J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, .
"Noise Trader Risk in Financial Markets,"
J. Bradford De Long's Working Papers
_124, University of California at Berkeley, Economics Department.
- Liu, Crocker H, et al, 1990. "The Integration of the Real Estate Market and the Stock Market: Some Preliminary Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 3(3), pages 261-82, September.
- Malkiel, Burton G, 1977. "The Valuation of Closed-End Investment-Company Shares," Journal of Finance, American Finance Association, vol. 32(3), pages 847-59, June.
- 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.
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1992. "The impact of institutional trading on stock prices," Scholarly Articles 27692662, Harvard University Department of Economics.
- Jim Clayton & David Ling & Andy Naranjo, 2009. "Commercial Real Estate Valuation: Fundamentals Versus Investor Sentiment," The Journal of Real Estate Finance and Economics, Springer, vol. 38(1), pages 5-37, January.
- William M. Gentry & Deen Kemsley & Christopher J. Mayer, 2001.
"Dividend Taxes and Share Prices: Evidence from Real Estate Investment Trusts,"
NBER Working Papers
8486, National Bureau of Economic Research, Inc.
- William M. Getry & Deen Kemsley & Christopher J. Mayer, 2003. "Dividend Taxes and Share Prices: Evidence from Real Estate Investment Trusts," Journal of Finance, American Finance Association, vol. 58(1), pages 261-282, 02.
- 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.
- Glascock, John L & Lu, Chiuling & So, Raymond W, 2000. "Further Evidence on the Integration of REIT, Bond, and Stock Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 20(2), pages 177-94, March.
- 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.
- John R. Nofsinger & Richard W. Sias, 1999. "Herding and Feedback Trading by Institutional and Individual Investors," Journal of Finance, American Finance Association, vol. 54(6), pages 2263-2295, December.
- Gordon Gemmill & Dylan C. Thomas, 2002. "Noise Trading, Costly Arbitrage, and Asset Prices: Evidence from Closed-end Funds," Journal of Finance, American Finance Association, vol. 57(6), pages 2571-2594, December.
When requesting a correction, please mention this item's handle: RePEc:ire:issued:v:16:n:01:2013:p:28-47. 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 Secretary Office/Webmaster)
If references are entirely missing, you can add them using this form.