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Public Information, REIT Responses, Size, Leverage, and Focus

Author

Listed:
  • Arjun Chatrath

    (University of Portland)

  • Rohan A. Christie-David

    (University of Louisville)

  • Sanjay Ramchander

    (Colorado State University)

Abstract

We evaluate REIT responses to the release of REIT-specific and macroeconomic news over two periods with differing economic climates. More specifically, using high-frequency data we track the response function over a period of sixty minutes following each announcement. Tests show REIT-specific information to have larger, and in many instances opposite effects to that of macroeconomic news. REITs also tend to be more sensitive to public information when the economy experiences a downturn. REIT size, leverage, and focus play an important mediating role between REIT trading activity and public information.

Suggested Citation

  • Arjun Chatrath & Rohan A. Christie-David & Sanjay Ramchander, 2012. "Public Information, REIT Responses, Size, Leverage, and Focus," Journal of Real Estate Research, American Real Estate Society, vol. 34(4), pages 463-514.
    • Handle: RePEc:jre:issued:v:34:n:4:2012:p:463-514
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    References listed on IDEAS

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    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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