REIT option volume, retail investors, and return predictability

George D. Cashman, David M. Harrison, Benjamin Scheick and Hainan Sheng

Real Estate Economics, 2025, vol. 53, issue 4, 808-840

Abstract: This article examines the importance of investor composition in determining the informativeness of option market trading. Utilizing the change in social dynamics that characterized the early COVID‐19 pandemic to identify a structural shift in investor composition within REIT (Real Estate Investment Trust) option markets, we first document a significant increase in REIT option volume attributable to the increased participation of retail investors during this period. While preliminary evidence indicates that relative option volume continues to be an important predictor of return performance in the underlying stock, on average, return predictability is drastically reduced when retail investor participation in a REIT's options is relatively high.

Date: 2025
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https://doi.org/10.1111/1540-6229.12539

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Persistent link: https://EconPapers.repec.org/RePEc:bla:reesec:v:53:y:2025:i:4:p:808-840

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