Price signaling and return chasing: International evidence from maturing REIT markets
Brounen,Dirk Marcato,Gianluca Silvestri,Edoardo
Brounen,Dirk
Marcato,Gianluca
Silvestri,Edoardo
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.
Description
Date
2019-03
Journal Title
Journal ISSN
Volume Title
Publisher
Research Projects
Organizational Units
Journal Issue
Keywords
MUTUAL FUND FLOWS, LIQUIDITY, PERFORMANCE
Citation
Brounen, D, Marcato, G & Silvestri, E 2019, 'Price signaling and return chasing : International evidence from maturing REIT markets', Real Estate Economics, vol. 47, no. 1, pp. 314-357. https://doi.org/10.1111/1540-6229.12247