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Public Information, REIT Responses, Size, Leverage, and Focus

Listed author(s):
  • Arjun Chatrath


    (University of Portland)

  • Rohan A. Christie-David


    (University of Louisville)

  • Sanjay Ramchander


    (Colorado State University)

Registered author(s):

    We evaluate REIT responses to the release of REIT-specific and macroeconomic news over two periods with differing economic climates. More specifically, using high-frequency data we track the response function over a period of sixty minutes following each announcement. Tests show REIT-specific information to have larger, and in many instances opposite effects to that of macroeconomic news. REITs also tend to be more sensitive to public information when the economy experiences a downturn. REIT size, leverage, and focus play an important mediating role between REIT trading activity and public information.

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    Article provided by American Real Estate Society in its journal journal of Real Estate Research.

    Volume (Year): 34 (2012)
    Issue (Month): 4 ()
    Pages: 463-514

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    Handle: RePEc:jre:issued:v:34:n:4:2012:p:463-514
    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

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    Order Information: Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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    References listed on IDEAS
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    1. Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-1191, September.
    2. anonymous, 2000. "Strong public demand for new coin," Financial Update, Federal Reserve Bank of Atlanta, issue Apr, pages 1-6.
    3. Zhilan Feng & Chinmoy Ghosh & C. Sirmans, 2007. "On the Capital Structure of Real Estate Investment Trusts (REITs)," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 81-105, January.
    4. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    5. Connolly, Robert A., 1989. "An Examination of the Robustness of the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 133-169, June.
    6. Downs, David H. & G√ľner, Nuray Z. & Hartzell, David J. & Torres, Michael A., 2001. "Why Do REIT Prices Change? The Information Content of Barron's "The Ground Floor."," The Journal of Real Estate Finance and Economics, Springer, vol. 22(1), pages 63-80, January.
    7. Almeida, Alvaro & Goodhart, Charles & Payne, Richard, 1998. "The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(03), pages 383-408, September.
    8. anonymous, 2000. "Supply, demand and deadlines," The Region, Federal Reserve Bank of Minneapolis, issue Dec, pages 5-7.
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