 Investor attention and the expected returns of reitsKenneth Yung and Nadia Nafar International Review of Economics & Finance, 2017, vol. 48, issue C, 423-439 Abstract: This study investigates the effect of retail investor attention on the expected returns of REITs. The attention-induced price pressure hypothesis of Barber and Odean (2008) suggests that increased attention leads to increased buying, which temporarily pushes prices and returns higher. This upward trend in prices and returns is followed by a reversal. We test the attention hypothesis on REITs from 2004 to 2012 using Search Volume Index (SVI) data in Google Trends. We find that REITs that generate high retail investor attention, as measured by SVI, earn higher returns compared to REITs that generate no retail investor attention. The results are driven by small stocks and stocks with high book to market ratio. We report that the SVI effect is not due to impediments to trade and conjecture that SVI increases retail investor recognition among REITs that are characterized by information incompleteness, leading to higher returns. Over time, this increase in returns is followed by a reversal. Keywords: Investor attention; Investor recognition; Google Search Volume Index; Real Estate Investment Trusts (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:48:y:2017:i:c:p:423-439 DOI: 10.1016/j.iref.2016.12.009 Access Statistics for this article International Review of Economics & Finance is currently edited by H. Beladi and C. Chen More articles in International Review of Economics & Finance from Elsevier |
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