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REIT Short Sales and Return Predictability

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  • Benjamin Blau
  • Matthew Hill
  • Hao Wang

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  • Benjamin Blau & Matthew Hill & Hao Wang, 2011. "REIT Short Sales and Return Predictability," The Journal of Real Estate Finance and Economics, Springer, vol. 42(4), pages 481-503, May.
    • Handle: RePEc:kap:jrefec:v:42:y:2011:i:4:p:481-503
    DOI: 10.1007/s11146-009-9196-9
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    References listed on IDEAS

    as
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    2. Lamoureux, Christopher G & Lastrapes, William D, 1990. "Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-229, March.
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    4. Eugene F. Fama & Kenneth R. French, 2001. "Disappearing Dividends: Changing Firm Characteristics Or Lower Propensity To Pay?," Journal of Applied Corporate Finance, Morgan Stanley, vol. 14(1), pages 67-79, March.
    5. Bessembinder, Hendrik & Kaufman, Herbert M., 1997. "A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(3), pages 287-310, September.
    6. Markus K. Brunnermeier & Lasse Heje Pedersen, 2005. "Predatory Trading," Journal of Finance, American Finance Association, vol. 60(4), pages 1825-1863, August.
    7. Chinmoy Ghosh & C. Sirmans, 2006. "Do Managerial Motives Impact Dividend Decisions in REITs?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 327-355, May.
    8. William Hardin III & Matthew D. Hill, 2008. "REIT Dividend Determinants: Excess Dividends and Capital Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(2), pages 349-369, June.
    9. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    10. Zhilan Feng & Chinmoy Ghosh & C. Sirmans, 2007. "CEO Involvement in Director Selection: Implications for REIT Dividend Policy," The Journal of Real Estate Finance and Economics, Springer, vol. 35(4), pages 385-410, November.
    11. Huang, Roger D. & Stoll, Hans R., 1996. "Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE," Journal of Financial Economics, Elsevier, vol. 41(3), pages 313-357, July.
    12. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(1), pages 109-126, March.
    13. Steven Dolvin & Mark Pyles, 2009. "REIT IPOs and the Cost of Going Public," The Journal of Real Estate Finance and Economics, Springer, vol. 39(1), pages 92-106, July.
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    15. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
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    17. Ekkehart Boehmer & Charles M. Jones & Xiaoyan Zhang, 2008. "Which Shorts Are Informed?," Journal of Finance, American Finance Association, vol. 63(2), pages 491-527, April.
    18. Hemang Desai & K. Ramesh & S. Ramu Thiagarajan & Bala V. Balachandran, 2002. "An Investigation of the Informational Role of Short Interest in the Nasdaq Market," Journal of Finance, American Finance Association, vol. 57(5), pages 2263-2287, October.
    19. William Hardin & Kartono Liano & Gow-Cheng Huang, 2005. "REIT Stock Splits and Market Efficiency," The Journal of Real Estate Finance and Economics, Springer, vol. 30(3), pages 297-315, April.
    20. Scott D. Below & Joseph K. Kiely & Willard McIntosh, 1996. "REIT Pricing Efficiency; Should Investors Still Be Concerned?," Journal of Real Estate Research, American Real Estate Society, vol. 12(3), pages 397-412.
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    22. Diamond, Douglas W. & Verrecchia, Robert E., 1987. "Constraints on short-selling and asset price adjustment to private information," Journal of Financial Economics, Elsevier, vol. 18(2), pages 277-311, June.
    23. Bessembinder, Hendrik & Kaufman, Herbert M., 1997. "A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks," Journal of Financial Economics, Elsevier, vol. 46(3), pages 293-319, December.
    24. Bessembinder, Hendrik, 1999. "Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(3), pages 387-407, September.
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    27. Zhilan Feng & Chinmoy Ghosh & C. Sirmans, 2007. "On the Capital Structure of Real Estate Investment Trusts (REITs)," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 81-105, January.
    28. Erik Devos & Seow Ong & Andrew Spieler, 2007. "Analyst Activity and Firm Value: Evidence from the REIT Sector," The Journal of Real Estate Finance and Economics, Springer, vol. 35(3), pages 333-356, October.
    29. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
    30. Senchack, A. J. & Starks, Laura T., 1993. "Short-Sale Restrictions and Market Reaction to Short-Interest Announcements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(2), pages 177-194, June.
    31. Mandelbrot, Benoit B, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices: Comment," Econometrica, Econometric Society, vol. 41(1), pages 157-159, January.
    32. Tom Arnold & Alexander W. Butler & Timothy Falcon Crack & Yan Zhang, 2005. "The Information Content of Short Interest: A Natural Experiment," The Journal of Business, University of Chicago Press, vol. 78(4), pages 1307-1336, July.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Dongshin Kim & Dongkuk Lim & Jonathan A. Wiley, 2023. "Narrative Investment-Risk Disclosure & REIT Investment," The Journal of Real Estate Finance and Economics, Springer, vol. 66(2), pages 542-567, February.
    2. Devaney, Michael, 2012. "Financial crisis, REIT short-sell restrictions and event induced volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(2), pages 219-226.
    3. S. McKay Price & Michael J. Seiler & Jiancheng Shen, 2017. "Do Investors Infer Vocal Cues from CEOs During Quarterly REIT Conference Calls?," The Journal of Real Estate Finance and Economics, Springer, vol. 54(4), pages 515-557, May.
    4. Xiaoying Deng & Seow Eng Ong, 2018. "Real Earnings Management, Liquidity Risk and REITs SEO Dynamics," The Journal of Real Estate Finance and Economics, Springer, vol. 56(3), pages 410-442, April.
    5. Steffen Westermann & Scott J. Niblock & Michael A. Kortt, 2018. "A Review of Corporate Social Responsibility and Real Estate Investment Trust Studies: An Australian Perspective," Economic Papers, The Economic Society of Australia, vol. 37(1), pages 92-110, March.
    6. Cao, Jie & Han, Bing & Song, Linjia & Zhan, Xintong, 2023. "Option price implied information and REIT returns," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 13-28.
    7. Massimo Guidolin & Manuela Pedio & Dimos Andronoudis, 2019. "How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs," BAFFI CAREFIN Working Papers 19117, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    8. Ying Hao & Hsiang-Hui Chu & Kuan-Cheng Ko & Lin Lin, 2016. "Momentum Strategies and Investor Sentiment in the REIT Market," International Review of Finance, International Review of Finance Ltd., vol. 16(1), pages 41-71, March.
    9. Pedro A.C. Saffi & Carles Vergara‐Alert, 2020. "The Big Short: Short Selling Activity and Predictability in House Prices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 48(4), pages 1030-1073, December.
    10. Benjamin Blau & Jared Egginton & Matthew Hill, 2016. "REITs and market friction," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 1-24, January.
    11. Ebenezer Asem & Vishaal Baulkaran & Pawan Jain & Mark Sunderman, 2022. "Are institutional investors informed? The case of dividend changes for REITS and Industrial Firms," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1685-1707, May.
    12. Cashman, George D. & Harrison, David M. & Sheng, Hainan, 2022. "Short sales, short risk, and return predictability in Asia-Pacific real estate markets," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    13. James Doran & David Peterson & S. Price, 2012. "Earnings Conference Call Content and Stock Price: The Case of REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 402-434, August.
    14. Elizabeth Devos & Erik Devos & Seow Eng Ong & Andrew C. Spieler, 2016. "Who Follows REITs?," Journal of Real Estate Research, American Real Estate Society, vol. 38(1), pages 129-164.
    15. Erik Devos & Thomas McInish & Michael McKenzie & James Upson, 2014. "Naked Short Selling and the Market Impact of Fails-to-Deliver: Evidence from the Trading of Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 49(4), pages 454-476, November.
    16. J. Andrew Hansz & Wikrom Prombutr & Ying Zhang & Tingyu Zhou, 2017. "An Anatomy of the Interrelationship between Equity and Mortgage REITs," International Real Estate Review, Global Social Science Institute, vol. 20(3), pages 287-324.
    17. Honghui Chen & David M. Harrison & Mahsa Khoshnoud, 2020. "Investors’ Limited Attention: Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 61(3), pages 408-442, October.
    18. Masaki Mori, 2015. "Information Diffusion in the U.S. Real Estate Investment Trust Market," The Journal of Real Estate Finance and Economics, Springer, vol. 51(2), pages 190-214, August.
    19. George D. Cashman & David M. Harrison & Hainan Sheng, 2022. "Short selling and options trading: A tale of two markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 313-338, June.
    20. Benjamin Blau & Jared F. Egginton & Matthew Hill, 2016. "REITs and market friction," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 1-24, January.
    21. SeungHan Ro & Paul Gallimore, 2014. "Real Estate Mutual Funds: Herding, Momentum Trading and Performance," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(1), pages 190-222, March.

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