Public Information, REIT Responses, Size, Leverage, and Focus
52 Pages Posted: 22 Jan 2013
Date Written: 2012
Abstract
We evaluate real estate investment trust (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 60 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 also play an important mediating role between REIT trading activity and public information.
Keywords: REIT, macroeconomic, news, public information
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