The Journal of Real Estate Finance and Economics

, Volume 41, Issue 3, pp 320-338

First online:

The Role of Correlated Trading in Setting REIT Prices

  • Kevin C. H. ChiangAffiliated withSchool of Business Administration, University of Vermont Email author 
  • , Ming-Long LeeAffiliated withDepartment of Finance, National Yunlin University of Science and Technology

Rent the article at a discount

Rent now

* Final gross prices may vary according to local VAT.

Get Access


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.


REITs Correlated trading Co-movement Investor sentiment Turnover