An Examination of Informed Traders and the Market Microstructure of Real Estate Investment Trusts
A significant body of research exists documenting that REITs perform differently from other types of equity securities, although the reasons for these differences are unclear. This study examines the intraday trading behavior of Real Estate Investment Trusts (REITs). Specifically, intraday REIT returns, volume, trading activity, and bid/ask spread are examined in an attempt to better understand the patterns of intraday information flow for a sample of REITs trading on the NYSE. After controlling for differences in market capitalization, share price, and institutional holdings, this paper analyzes differences between REITs and non-REITs, and between REITs that are widely held by institutions and those that are not. The results suggest that, as a group, REITs exhibit lower average volumes and number of trades than do similar non-REITs. In addition, the findings suggest that mortgage REITs trade at spreads that are wider. Surprisingly, the analysis of institutional ownership suggests that equity REITs that are widely held by institutions exhibit the largest divergence from non-REITs in terms of both intraday trading activity and volume, but at the same time trade closer to non-REITs in terms of bid/ask spread. Overall, the results of this study confirm that REITs are treated differently by investors than similar non-REITs, and the institutional ownership findings suggest that trading activity is less important as a determinant of REIT performance than is the level of institutional ownership.
Volume (Year): 10 (1995)
Issue (Month): 3 ()
|Contact details of provider:|| Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323|
Web page: http://www.aresnet.org/
|Order Information:|| Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323|
Web: http://pages.jh.edu/jrer/about/get.htm 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.:
- Below, Scott & Zaman, Mir A & McIntosh, Will, 1995. "The Pricing of Real Estate Investment Trust Initial Public Offerings," The Journal of Real Estate Finance and Economics, Springer, vol. 11(1), pages 55-64, July.
- Wood, Robert A & McInish, Thomas H & Ord, J Keith, 1985. " An Investigation of Transactions Data for NYSE Stocks," Journal of Finance, American Finance Association, vol. 40(3), pages 723-39, July.
- Wang, Ko & Chan, Su Han & Gau, George W., 1992. "Initial public offerings of equity securities *1: Anomalous evidence using REITs," Journal of Financial Economics, Elsevier, vol. 31(3), pages 381-410, June.
- K. C. Chan & Patric H. Hendershott & Anthony B. Sanders, 1990.
"Risk and Return on Real Estate: Evidence from Equity REITs,"
Real Estate Economics,
American Real Estate and Urban Economics Association, vol. 18(4), pages 431-452.
- 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.
- McInish, Thomas H & Wood, Robert A, 1992. " An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks," Journal of Finance, American Finance Association, vol. 47(2), pages 753-64, June.
- Jain, Prem C. & Joh, Gun-Ho, 1988. "The Dependence between Hourly Prices and Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(03), pages 269-283, September.
- 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.
When requesting a correction, please mention this item's handle: RePEc:jre:issued:v:10:n:3:1995:p:335-361. 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: (JRER Graduate Assistant/Webmaster)
If references are entirely missing, you can add them using this form.