IDEAS home Printed from https://ideas.repec.org/a/bla/reesec/v47y2019i1p314-357.html
   My bibliography  Save this article

Price Signaling and Return Chasing: International Evidence from Maturing REIT Markets

Author

Listed:
  • Dirk Brounen
  • Gianluca Marcato
  • Edoardo Silvestri

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.

Suggested Citation

  • Dirk Brounen & Gianluca Marcato & Edoardo Silvestri, 2019. "Price Signaling and Return Chasing: International Evidence from Maturing REIT Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 47(1), pages 314-357, March.
    • Handle: RePEc:bla:reesec:v:47:y:2019:i:1:p:314-357
    DOI: 10.1111/1540-6229.12247
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1540-6229.12247
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1540-6229.12247?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chinmoy Ghosh & Milena Petrova, 2021. "The Effect of Legal Environment and Regulatory Structure on Performance: Cross-Country Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 63(1), pages 40-81, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:reesec:v:47:y:2019:i:1:p:314-357. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/areueea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.