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What Determines Stock Price Synchronicity in REITs?

  • Richard Chung
  • Scott Fung
  • James Shilling
  • Tammie Simmons-Mosley

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    File URL: http://hdl.handle.net/10.1007/s11146-010-9254-3
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    Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

    Volume (Year): 43 (2011)
    Issue (Month): 1 (July)
    Pages: 73-98

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    Handle: RePEc:kap:jrefec:v:43:y:2011:i:1:p:73-98
    Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=102945

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    5. Figlewski, Stephen, 1981. "The Informational Effects of Restrictions on Short Sales: Some Empirical Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(04), pages 463-476, November.
    6. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
    7. Damodaran, Aswath & Liu, Crocker H, 1993. "Insider Trading as a Signal of Private Information," Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 79-119.
    8. April Klein & Emanuel Zur, 2009. "Entrepreneurial Shareholder Activism: Hedge Funds and Other Private Investors," Journal of Finance, American Finance Association, vol. 64(1), pages 187-229, 02.
    9. Shleifer, Andrei & Vishny, Robert W, 1997. " The Limits of Arbitrage," Journal of Finance, American Finance Association, vol. 52(1), pages 35-55, March.
    10. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
    11. Nagel, Stefan, 2005. "Short sales, institutional investors and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 78(2), pages 277-309, November.
    12. Jennifer E. Bethel & Julia Porter Liebeskind & Tim Opler, 1998. "Block Share Purchases and Corporate Performance," Journal of Finance, American Finance Association, vol. 53(2), pages 605-634, 04.
    13. Eli Ofek & Matthew Richardson, 2002. "The Valuation and Market Rationality of Internet Stock Prices," Oxford Review of Economic Policy, Oxford University Press, vol. 18(3), pages 265-287.
    14. Del Guercio, Diane, 1996. "The distorting effect of the prudent-man laws on institutional equity investments," Journal of Financial Economics, Elsevier, vol. 40(1), pages 31-62, January.
    15. Chanda, Anup & Maddala, G. S., 1983. "Methods of estimation for models of markets with bounded price variation under rational expectations," Economics Letters, Elsevier, vol. 13(2-3), pages 181-184.
    16. Grossman, S J & Hart, O D, 1980. " Disclosure Laws and Takeover Bids," Journal of Finance, American Finance Association, vol. 35(2), pages 323-34, May.
    17. Harrison Hong & Jeremy C. Stein, 1999. "A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets," Journal of Finance, American Finance Association, vol. 54(6), pages 2143-2184, December.
    18. Diamond, Douglas W. & Verrecchia, Robert E., 1987. "Constraints on short-selling and asset price adjustment to private information," Journal of Financial Economics, Elsevier, vol. 18(2), pages 277-311, June.
    19. Randall Morck & Bernard Yeung & Wayne Wu, 1999. "The Information Content of Stock Markets: Why do Emerging Markets have Synchronous Stock Price Movements?," William Davidson Institute Working Papers Series 44, William Davidson Institute at the University of Michigan.
    20. Below, Scott D & Stansell, Stanley R & Coffin, Mark, 2000. "The Determinants of REIT Institutional Ownership: Tests of the CAPM," The Journal of Real Estate Finance and Economics, Springer, vol. 21(3), pages 263-78, November.
    21. Malpezzi, Stephen & Shilling, James D, 2000. "Institutional Investors Tilt Their Real Estate Holdings toward Quality, Too," The Journal of Real Estate Finance and Economics, Springer, vol. 21(2), pages 113-40, September.
    22. Brent W. Ambrose & Michael J. Highfield & Peter D. Linneman, 2005. "Real Estate and Economies of Scale: The Case of REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 33(2), pages 323-350, 06.
    23. Alon Brav & Wei Jiang & Frank Partnoy & Randall Thomas, 2008. "Hedge Fund Activism, Corporate Governance, and Firm Performance," Journal of Finance, American Finance Association, vol. 63(4), pages 1729-1775, 08.
    24. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    25. Papke, Leslie E & Wooldridge, Jeffrey M, 1996. "Econometric Methods for Fractional Response Variables with an Application to 401(K) Plan Participation Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 619-32, Nov.-Dec..
    26. Jin, Li & Myers, Stewart C., 2006. "R2 around the world: New theory and new tests," Journal of Financial Economics, Elsevier, vol. 79(2), pages 257-292, February.
    27. Artyom Durnev & Randall Morck & Bernard Yeung & Paul Zarowin, 2003. "Does Greater Firm-Specific Return Variation Mean More or Less Informed Stock Pricing?," Journal of Accounting Research, Wiley Blackwell, vol. 41(5), pages 797-836, December.
    28. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    29. Jose A. Scheinkman & Wei Xiong, 2003. "Overconfidence and Speculative Bubbles," Journal of Political Economy, University of Chicago Press, vol. 111(6), pages 1183-1219, December.
    30. Maddala, G S, 1983. "Methods of Estimation for Models of Markets with Bounded Price Variation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(2), pages 361-78, June.
    31. Paul A. Gompers & Andrew Metrick, 1998. "How Are Large Institutions Different from Other Investors? Why Do These Differences Matter?," Harvard Institute of Economic Research Working Papers 1830, Harvard - Institute of Economic Research.
    32. Stiglitz, Joseph E & Weiss, Andrew, 1981. "Credit Rationing in Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 71(3), pages 393-410, June.
    33. Kerry D. Vandell, 1998. "Strategic Management of the Apartment Business in a Big REIT World," Wisconsin-Madison CULER working papers 98-06, University of Wisconsin Center for Urban Land Economic Research.
    34. Kevin C.H. Chiang & Ming-Long Lee & Craig H. Wisen, 2005. "On the Time-Series Properties of Real Estate Investment Trust Betas," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 33(2), pages 381-396, 06.
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