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Do the individual moments of REIT return distributions affect institutional ownership patterns?

Author

Listed:
  • Scott D Below

    (Associate Professor of Finance at East Carolina University)

  • Stanley Stansell

    (School of Business, East Carolina University)

Abstract

This paper examines the determinants of institutional investment demand for Real Estate Investment Trust (REIT) common stock. Specifically, it explores whether the demand function of institutional investors is dependent on the first four moments of the REIT returns distribution. The objective is to determine whether institutional investment decisions concerning REITs are influenced by individual stock attributes such as the mean return, standard deviation of returns, skewness of returns and kurtosis of returns. The results suggest that standard deviation plays a significant role in the institutional demand for REITs, but no significant role is found for the higher moments of the return distribution. The results also suggest institutional investment in REITs is predictable a priori using the moments of the REIT return distribution.

Suggested Citation

  • Scott D Below & Stanley Stansell, 2003. "Do the individual moments of REIT return distributions affect institutional ownership patterns?," Journal of Asset Management, Palgrave Macmillan, vol. 4(2), pages 77-95, August.
    • Handle: RePEc:pal:assmgt:v:4:y:2003:i:2:d:10.1057_palgrave.jam.2240096
    DOI: 10.1057/palgrave.jam.2240096
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    Cited by:

    1. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2008. "Diversifying in public real estate: The ex-post performance," Journal of Asset Management, Palgrave Macmillan, vol. 8(6), pages 361-373, February.

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