The Riskiness of REITs Surrounding the October 1997 Stock Market Decline

Self Cite

mentioning

confidence: 96%

Momentum Profitability and Market Trend: Evidence from REITs

Hung

Glascock

2007

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“…Glascock et al (2004) compare REIT stocks with non-REIT stocks surrounding one specific market decline: the stock market crash in October 1997. Our effort is to dig deeper within REIT stocks and study the relationship between REIT firm characteristics and REIT price behavior surrounding a collection of extreme market declines.…”

Section: Related Literature and Contributionsmentioning

confidence: 99%

“…In this effort, we investigate the cross-sectional price behavior of Real Estate Investment Trusts (REITs) surrounding extremely negative market-related events: we limit our effort to events after the structural changes in the 1990s. Glascock et al (2004) present evidence of the defensive nature of REIT stocks during one specific market decline: the October-1997 stock market crash. Their research centers on the comparison between REIT stocks and non-REIT stocks.…”

Section: Introductionmentioning

confidence: 98%

The Price Behavior of REITs Surrounding Extreme Market-Related Events

Glascock

Lu‐Andrews

2015

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We examine REIT behavior around extreme market-wide price occurrences. In general, we find that REITs that have higher levels of liquidity and that are larger in size tend to impound information more quickly and reverse more speedily after an extreme event. Also, we find that Equity REITs have stronger liquidity effects and Mortgage REITs have stronger size effects. Exante beta is also useful in explaining price behavior. For example, pre-betas are significantly positively related to turnover ratios; while pre-event betas are negatively associated with quoted bid-ask spreads. This implies a high-beta, high-liquidity relation for REIT stocks. Additionally, we find that large REIT stocks have high pre-event betas. Overall, the stronger explanatory variables are liquidity and size in determining price movements around extreme market events for REIT stocks.

“…Thus, investors enjoy diversification benefits by adding REITs to their portfolios (Chandrashekaran, 1999;Geltner & Rodriquez, 1997). Glascock, Michayluk, and Neuhauser (2004) find REITs also exhibit characteristics of defensive stocks. In addition, many investors consider REIT equities good for hedging against inflation despite researchers have reported mixed results.…”

Section: Introductionmentioning

confidence: 96%

Equity Capital Flows and Demand for REITs

Lin

Yung

2006

REITs are attractive to investors due to their unique characteristics such as high dividend yields, low correlation with common stocks, and a potential hedge against inflation. Thus the market demand curve of REIT equities may not be horizontal. This paper examines the shape of the market demand curve for REIT equities by employing REIT equity capital flows as a proxy for REIT aggregate demand. Our results do not support a downward demand curve for REIT equities. That is, we do not find evidence for the price-pressure effect in REIT returns. Instead, we find it is REIT returns that affect REIT equity capital flows rather than REIT equity flows that affect REIT returns. The results are consistent when we allow for the presence of market fundamental variables in our analysis. In addition, a variance decomposition analysis suggests that REIT equity capital flows do not cause revisions in expected cash flows (dividends) that are strong enough to impact REIT returns. Thus our findings are consistent with implications that the market demand curve for REIT equities is horizontal. Copyright Springer Science + Business Media, LLC 2006REITs, Demand curve, Equity capital flows,