The Journal of Real Estate Finance and Economics

, Volume 21, Issue 3, pp 263–278

The Determinants of REIT Institutional Ownership: Tests of the CAPM

  • Scott D. Below
  • Stanley R. Stansell
  • Mark Coffin
Article

DOI: 10.1023/A:1012003803494

Cite this article as:
Below, S.D., Stansell, S.R. & Coffin, M. The Journal of Real Estate Finance and Economics (2000) 21: 263. doi:10.1023/A:1012003803494

Abstract

This study examines the determinants of institutional investment demand for REIT common stock. We estimate the demand function for financial institutions using the mean return and CAPM risk measures (beta and standard error) for REIT stocks. The objective is to determine whether institutional investment decisions are influenced by CAPM model attributes. In addition, we examine the predicatability of REIT institutional ownership based on the factors in our model. We employ conventional OLS forecasting techniques, as well as two neural network models in order to deal with possible nonlinearities in the relationships.

REIT institutional ownership institutional investment decisions CAPM 

Copyright information

© Kluwer Academic Publishers 2000

Authors and Affiliations

  • Scott D. Below
    • 1
  • Stanley R. Stansell
    • 1
  • Mark Coffin
    • 1
  1. 1.School of BusinessEast Carolina UniversityGreenville

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