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Price-signaling and return-chasing: international evidence from maturing REIT markets

Brounen, D., Marcato, G. and Silvestri, E. (2019) Price-signaling and return-chasing: international evidence from maturing REIT markets. Real Estate Economics, 47 (1). pp. 314-357. ISSN 1540-6229

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To link to this item DOI: 10.1111/1540-6229.12247

Abstract/Summary

This paper examines the liquidity of international real estate securities across ten markets over the period 1990-2015. We apply and compare results for four different measures of liquidity, and find that while liquidity has increased consistently, wide variations still exist across markets, with the U.S. and Japan in the lead. Our results also suggest that the introduction of local REIT regimes did not have any pervasive effects on stock liquidity. When we study the relationship between liquidity and returns, we document new and consistent evidence for international return-chasing behavior, whose pattern is a function of local market efficiency, listed real estate market maturity, and stock ownership dispersion. The introduction of REIT regimes seems to weaken the importance of extra performance over and above general equity returns as investors tend to allocate funds to real estate securities within real estate rather than equity portfolios.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > Real Estate and Planning
Henley Business School > ICMA Centre
Henley Business School > International Business and Strategy
ID Code:76002
Publisher:Wiley

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