Investor Overconfidence in REIT Stock Trading

Crystal Yan Lin, Hamid Rahman and Kenneth Yung

Journal of Real Estate Portfolio Management, 2010, vol. 16, issue 1, 39-57

Abstract: Executive Summary. Extant research has increasingly focused on investor psychology to understand market behavior. One area of interest has been investor overconfidence. The overconfidence paradigm provides several testable hypotheses. These propositions have been empirically validated for stocks but after specifically excluding real estate investment trusts (REITs). Extant literature suggests portfolio managers consider REITs to be an "asset-class" distinct from stocks. This study examines the applicability of the overconfidence paradigm to REITs. The results show that realized returns do lead trading volume in REITs, a finding consistent with investor confidence. Overconfident trading varies with REIT size. The study finds that the REIT market has a dynamism that is distinct from the general stock market. Only weak evidence is found indicating that overconfident investors tend to trade in stocks with high levels of firm-specific risk following market gain.

Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10835547.2010.12089866 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:repmxx:v:16:y:2010:i:1:p:39-57

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/repm20

DOI: 10.1080/10835547.2010.12089866

Access Statistics for this article

Journal of Real Estate Portfolio Management is currently edited by Peng Liu and Vivek Sah

More articles in Journal of Real Estate Portfolio Management from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().