The Journal of Real Estate Finance and Economics

, Volume 41, Issue 3, pp 320–338

The Role of Correlated Trading in Setting REIT Prices

Authors

    • School of Business AdministrationUniversity of Vermont
  • Ming-Long Lee
    • Department of FinanceNational Yunlin University of Science and Technology
Article

DOI: 10.1007/s11146-009-9168-0

Cite this article as:
Chiang, K.C.H. & Lee, M. J Real Estate Finan Econ (2010) 41: 320. doi:10.1007/s11146-009-9168-0

Abstract

This study investigates the role of correlated trading by individuals in setting equity real estate investment trust (REIT) prices. Consistent with existing literature, this study finds that there is a common element in correlated trades that drives both traditional closed-end fund prices and REIT prices. Perhaps more important, we find evidence suggesting that (1) the effects of correlated trading on REIT prices are stronger for those REITs that are hypothesized to be preferred by individual investors, and (2) this linkage is stronger when the REIT market is hot and exuberant; i.e., when the average share turnover in the REIT market is high.

Keywords

REITs Correlated trading Co-movement Investor sentiment Turnover

Copyright information

© Springer Science+Business Media, LLC 2009