Year-End Trading Motives of REIT Investors: Further Evidence Based on Price and Trading Volume Relationship

Xiaorong Zhou and Vivek Sah

Journal of Real Estate Portfolio Management, 2010, vol. 16, issue 2, 141-151

Abstract: Executive Summary. This study looks at the relationship between past returns and trading volume, specifically at year-end and tries to explain the trading motive underlying it. To be specific, we examine the relationship between the direction of past price changes and abnormal turnover. Results indicate that winners tend to have higher abnormal turnover rate than losers in a regular month (February to November). However, in December, as predicted by the tax-motivated trading hypothesis, the difference of trading turnovers between winners and losers generally is not statistically significant. Based on sub-periods, we find that before 1994, winners generally are significantly traded more in January than the losers. These findings indicate that overall for REITs, past price changes affect trading through both tax and non-tax motives.

Date: 2010
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DOI: 10.1080/10835547.2010.12089873

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