The Determinants of REIT Institutional Ownership: Tests of the CAPM

Scott D Below, Stanley R Stansell and Mark Coffin

The Journal of Real Estate Finance and Economics, 2000, vol. 21, issue 3, 263-78

Abstract: This study examines the determinants of institutional investment demand for REIT common stock. We estimate the demand function for financial institutions using the mean return and CAPM risk measures (beta and standard error) for REIT stocks. The objective is to determine whether institutional investment decisions are influenced by CAPM model attributes. In addition, we examine the predictability of REIT institutional ownership based on the factors in our model. We employ conventional OLS forecasting techniques, as well as two neural network models in order to deal with possible nonlinearities in the relationships. Copyright 2000 by Kluwer Academic Publishers

Date: 2000
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The Journal of Real Estate Finance and Economics is currently edited by Steven R. Grenadier, James B. Kau and C.F. Sirmans

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