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

  • 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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    File URL: http://pages.jh.edu/jrer/papers/pdf/past/vol34n04/02.463_514.pdf
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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
    Web page: http://www.aresnet.org/
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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
    Web: http://pages.jh.edu/jrer/about/get.htm Email:


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