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

Author

Listed:
  • Arjun Chatrath

    () (University of Portland)

  • Rohan A. Christie-David

    () (University of Louisville)

  • Sanjay Ramchander

    () (Colorado State University)

Abstract

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.

Suggested Citation

  • Arjun Chatrath & Rohan A. Christie-David & Sanjay Ramchander, 2012. "Public Information, REIT Responses, Size, Leverage, and Focus," Journal of Real Estate Research, American Real Estate Society, vol. 34(4), pages 463-514.
  • Handle: RePEc:jre:issued:v:34:n:4:2012:p:463-514
    as

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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. 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.
    4. anonymous, 2000. "Strong public demand for new coin," Financial Update, Federal Reserve Bank of Atlanta, issue Apr, pages 1-6.
    5. anonymous, 2000. "Supply, demand and deadlines," The Region, Federal Reserve Bank of Minneapolis, issue Dec, pages 5-7.
    6. 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.
    7. 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.
    8. 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.
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    JEL classification:

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

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