Do the individual moments of REIT return distributions affect institutional ownership patterns?

Scott D Below and Stanley Stansell ()
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Scott D Below: Associate Professor of Finance at East Carolina University
Stanley Stansell: School of Business, East Carolina University

Journal of Asset Management, 2003, vol. 4, issue 2, No 2, 77-95

Abstract: Abstract This paper examines the determinants of institutional investment demand for Real Estate Investment Trust (REIT) common stock. Specifically, it explores whether the demand function of institutional investors is dependent on the first four moments of the REIT returns distribution. The objective is to determine whether institutional investment decisions concerning REITs are influenced by individual stock attributes such as the mean return, standard deviation of returns, skewness of returns and kurtosis of returns. The results suggest that standard deviation plays a significant role in the institutional demand for REITs, but no significant role is found for the higher moments of the return distribution. The results also suggest institutional investment in REITs is predictable a priori using the moments of the REIT return distribution.

Keywords: Real Estate Investment Trust; institutional ownership; mean; standard deviation; skewness; kurtosis (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1057/palgrave.jam.2240096

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