Investor Sentiment and REIT Returns

Lin, Crystal Yan; Rahman, Hamid; Yung, Kenneth

doi:10.1007/s11146-008-9115-5

Cited by 87 publications

(69 citation statements)

References 40 publications

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“…Lin, Rahman and Yung () look at the effect that optimism and pessimism among REIT‐share investors has on the performance of REIT shares. They find that REIT returns are higher when investors are more optimistic, and vice versa.…”

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confidence: 99%

CEO Overconfidence, REIT Investment Activity and Performance

Eichholtz

Yönder

2014

Real Estate Economics

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This is the first article to study the effects of overconfidence on trading activity and performance in real estate. The article looks at Real Estate Investment Trusts (REITs), as their investments and divestments can be identified with precision. We look at the effect of CEO overconfidence on investment activity and separately investigate property acquisitions and dispositions. We find that REITs with overconfident CEOs tend to invest more; these REITs acquire more assets and are less likely to sell assets than their counterparts if they have enough discretionary cash. Valuable private information is not the main driver for CEOs to be net buyers of company shares: the shares of their companies perform relatively weakly. In addition, we find that overconfident managers have lower property investment performance measured by net operating income and gain on sale of real estate.

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confidence: 99%

CEO Overconfidence, REIT Investment Activity and Performance

Eichholtz

Yönder

2014

Real Estate Economics

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“…Following Lin et al. (), we obtain monthly returns, prices, and market capitalizations for the REIT sample from the Center for Research in Security Prices (CRSP) database based on SIC code of 6798 and share codes of 18 and 48. To identify the state of investor sentiment, we obtain the CCI from the Web site of CB .…”

Section: Data and Empirical Methodsmentioning

confidence: 99%

“…Our sample consists of all REITs (including equity, mortgage, and hybrid) listed on NYSE, AMEX, and NASDAQ for the sample period from January 1978 to December 2011. Following Lin et al (2009), we obtain monthly returns, prices, and market capitalizations for the REIT sample from the Center for Research in Security Prices (CRSP) database based on SIC code of 6798 and share codes of 18 and 48. To identify the state of investor sentiment, we obtain the CCI from the Web site of CB.…”

Section: A Datamentioning

confidence: 99%

“…Although there is evidence indicating that REIT returns are associated with investor sentiment (Lin et al. ), whether and how investor sentiment influences the profits to the REIT momentum still remains an unresolved question in the literature.…”

Section: Introductionmentioning

confidence: 99%

“…Antoniou et al (2013), on the other hand, show that the profits to the price momentum vary with the states of investor sentiment based on a sample from the equity market. Although there is evidence indicating that REIT returns are associated with investor sentiment (Lin et al 2009), whether and how investor sentiment influences the profits to the REIT momentum still remains an unresolved question in the literature.…”

Section: Introductionmentioning

confidence: 99%

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Momentum Strategies and Investor Sentiment in the REIT Market

Ying

Chu

et al. 2015

Int Rev Finance

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Comparing across three momentum measures, we empirically find that the 52‐week high strategy plays a dominant role in generating momentum profits in the Real Estate Investment Trust (REIT) market. The profitability of the 52‐week high strategy, however, varies with the state of investor sentiment. Specifically, we find that the 52‐week high momentum earns significantly positive returns following optimistic periods and significantly negative returns following pessimistic periods. Further evidence indicates that investor sentiment serves as a better predictive variable in explaining the REIT momentum than market states, business cycles, legislation changes, and monetary policy changes. Overall, our findings are in line with behavioral theories in explaining the REIT momentum.

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