The Continuing Overreaction in the REIT Market

Ming-Yu Liu () and Chiuling Lu ()
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Ming-Yu Liu: National Taiwan University
Chiuling Lu: National Taiwan University

The Journal of Real Estate Finance and Economics, 2020, vol. 61, issue 1, No 6, 129-149

Abstract: Abstract We find that REITs, which are most held by institutional investors and are characterized as being passive investment instruments, exhibit price continuing overreaction. The empirical results show that buying REITs with an upward continuing overreaction and shorting REITs with a downward continuing overreaction yields a significant positive return, and that the return patterns reverse in the long run. We further find that the continuing overreaction comes from the trading of active mutual funds, suggesting that active fund managers exhibit the biases of overconfidence and self-attribution. Finally, we show that market continuation and high information uncertainty amplify the degree of continuing overreaction.

Keywords: Real estate investment trust; Continuing overreaction; Overconfidence; Self-attribution; Institutional investor (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s11146-019-09707-x

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