The Price Behavior of REITs Surrounding Extreme Market-Related Events

John Glascock () and Ran Lu-Andrews ()

The Journal of Real Estate Finance and Economics, 2015, vol. 51, issue 4, 479 pages

Abstract: We examine REIT behavior around extreme market-wide price occurrences. In general, we find that REITs that have higher levels of liquidity and that are larger in size tend to impound information more quickly and reverse more speedily after an extreme event. Also, we find that Equity REITs have stronger liquidity effects and Mortgage REITs have stronger size effects. Exante beta is also useful in explaining price behavior. For example, pre-betas are significantly positively related to turnover ratios; while pre-event betas are negatively associated with quoted bid-ask spreads. This implies a high-beta, high-liquidity relation for REIT stocks. Additionally, we find that large REIT stocks have high pre-event betas. Overall, the stronger explanatory variables are liquidity and size in determining price movements around extreme market events for REIT stocks. Copyright Springer Science+Business Media New York 2015

Keywords: Liquidity; REITs; Extreme market events; Event study; Beta (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (7)

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DOI: 10.1007/s11146-015-9495-2

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