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On The Comovement of REIT Prices


  • Kevin C.H. Chiang

    () (University of Vermont)


This study examines the comovement of equity real estate investment trust (REIT) prices in both the vintage (1980–1991) and the new (1992–2004) REIT eras. The results indicate that the comovement of equity REIT prices within the same property type has strengthened during the new REIT era. The results also indicate that, all else being equal, a high institutional participation, a low insider ownership, and a large market capitalization are associated with a high within-property-type price synchronicity. The evidence is consistent with two notions: (1) that increasing participation by institutional investors in the new REIT era facilitates the pricing of property-type common information on firm-level prices, and (2) that REITs’ information openness to institutional investing plays a role in this strengthened pricing relationship.

Suggested Citation

  • Kevin C.H. Chiang, 2010. "On The Comovement of REIT Prices," Journal of Real Estate Research, American Real Estate Society, vol. 32(2), pages 187-200.
  • Handle: RePEc:jre:issued:v:32:n:2:2010:p:187-200

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    References listed on IDEAS

    1. Capozza, Dennis & Li, Yuming, 1994. "The Intensity and Timing of Investment: The Case of Land," American Economic Review, American Economic Association, vol. 84(4), pages 889-904, September.
    2. Kerry D. Vandell, 1991. "Business versus Real Estate Value in Shopping Mall Valuation: A Critical Examination," Wisconsin-Madison CULER working papers 91-03, University of Wisconsin Center for Urban Land Economic Research.
    3. Jeffrey D. Fisher & George H. Lentz, 1990. "Business Enterprise Value in Shopping Malls: An Empirical Test," Journal of Real Estate Research, American Real Estate Society, vol. 5(1), pages 167-175.
    4. Titman, Sheridan, 1985. "Urban Land Prices under Uncertainty," American Economic Review, American Economic Association, vol. 75(3), pages 505-514, June.
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    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services


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