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Year-End Trading Motives of REIT Investors: Further Evidence Based on Price and Trading Volume Relationship

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  • Xiaorong Zhou
  • Vivek Sah

Abstract

Executive Summary. This study looks at the relationship between past returns and trading volume, specifically at year-end and tries to explain the trading motive underlying it. To be specific, we examine the relationship between the direction of past price changes and abnormal turnover. Results indicate that winners tend to have higher abnormal turnover rate than losers in a regular month (February to November). However, in December, as predicted by the tax-motivated trading hypothesis, the difference of trading turnovers between winners and losers generally is not statistically significant. Based on sub-periods, we find that before 1994, winners generally are significantly traded more in January than the losers. These findings indicate that overall for REITs, past price changes affect trading through both tax and non-tax motives.

Suggested Citation

  • Xiaorong Zhou & Vivek Sah, 2010. "Year-End Trading Motives of REIT Investors: Further Evidence Based on Price and Trading Volume Relationship," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 16(2), pages 141-151, January.
    • Handle: RePEc:taf:repmxx:v:16:y:2010:i:2:p:141-151
    DOI: 10.1080/10835547.2010.12089873
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