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

Abstract

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
Volume47
Issue number1
DOIs
Publication statusPublished - Mar 2019

Keywords

  • MUTUAL FUND FLOWS
  • LIQUIDITY
  • PERFORMANCE

Cite this

Brounen, Dirk ; Marcato, Gianluca ; Silvestri, Edoardo. / Price signaling and return chasing : International evidence from maturing REIT markets. In: Real Estate Economics. 2019 ; Vol. 47, No. 1. pp. 314-357.
@article{ec6a6d19c6c644159433cf3dc5e6795f,
title = "Price signaling and return chasing: International evidence from maturing REIT markets",
abstract = "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.",
keywords = "MUTUAL FUND FLOWS, LIQUIDITY, PERFORMANCE",
author = "Dirk Brounen and Gianluca Marcato and Edoardo Silvestri",
year = "2019",
month = "3",
doi = "10.1111/1540-6229.12247",
language = "English",
volume = "47",
pages = "314--357",
journal = "Real Estate Economics",
issn = "1080-8620",
publisher = "Wiley-Blackwell",
number = "1",

}

Price signaling and return chasing : International evidence from maturing REIT markets. / Brounen, Dirk; Marcato, Gianluca; Silvestri, Edoardo.

In: Real Estate Economics, Vol. 47, No. 1, 03.2019, p. 314-357.

Research output: Contribution to journalArticleScientificpeer-review

TY - JOUR

T1 - Price signaling and return chasing

T2 - International evidence from maturing REIT markets

AU - Brounen, Dirk

AU - Marcato, Gianluca

AU - Silvestri, Edoardo

PY - 2019/3

Y1 - 2019/3

N2 - 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.

AB - 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.

KW - MUTUAL FUND FLOWS

KW - LIQUIDITY

KW - PERFORMANCE

U2 - 10.1111/1540-6229.12247

DO - 10.1111/1540-6229.12247

M3 - Article

VL - 47

SP - 314

EP - 357

JO - Real Estate Economics

JF - Real Estate Economics

SN - 1080-8620

IS - 1

ER -