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

Arjun Chatrath (), Rohan A. Christie-David () and Sanjay Ramchander ()
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Arjun Chatrath: University of Portland
Rohan A. Christie-David: University of Louisville
Sanjay Ramchander: Colorado State University

Journal of Real Estate Research, 2012, vol. 34, issue 4, 463-514

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.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 2012
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