Price signaling and return chasing: International evidence from maturing REIT markets

Dirk Brounen*, Gianluca Marcato, Edoardo Silvestri

*Corresponding author for this work

Research output: Contribution to journalArticleScientificpeer-review

3 Citations (Scopus)


This article examines the liquidity of international real estate securities across 10 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 United States 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.

Original languageEnglish
Pages (from-to)314-357
Number of pages44
JournalReal Estate Economics
Issue number1
Publication statusPublished - Mar 2019




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