Public Information, REIT Responses, Size, Leverage, and Focus

Arjun Chatrath, Rohan Christian-David and Sanjay Ramchander

Journal of Real Estate Research, 2012, vol. 34, issue 4, 463-514

Abstract: We evaluate real estate investment trust (REIT) responses to the release of REIT-specific and macroeconomic news over two periods with differing economic climates. More specifically, using high-frequency data, we track the response function over a period of 60 minutes following each announcement. Tests show REIT-specific information to have larger, and in many instances opposite, effects to that of macroeconomic news. REITs also tend to be more sensitive to public information when the economy experiences a downturn. REIT size, leverage, and focus also play an important mediating role between REIT trading activity and public information.

Date: 2012
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DOI: 10.1080/10835547.2012.12091345

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