IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

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.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://pages.jh.edu/jrer/papers/pdf/past/vol34n04/02.463_514.pdf
    File Function: Full text
    Download Restriction: no

    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

    as
    in new window

    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

    Web page: http://www.aresnet.org/
    Email:

    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.:

    as
    in new window


    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.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:jre:issued:v:34:n:4:2012:p:463-514. 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 you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.