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

52 Pages Posted: 22 Jan 2013

See all articles by Arjun Chatrath

Arjun Chatrath

University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration

Rohan Christie-David

Independent

Sanjay Ramchander

Colorado State University, Fort Collins - Department of Finance & Real Estate

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

Suggested Citation

Chatrath, Arjun and Christie-David, Rohan and Ramchander, Sanjay, Public Information, REIT Responses, Size, Leverage, and Focus (2012). Journal of Real Estate Research, Vol. 34, No. 4, 2012, Available at SSRN: https://ssrn.com/abstract=2205201

Arjun Chatrath (Contact Author)

University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration ( email )

Portland, OR 97203
United States
503-283-7465 (Phone)

Rohan Christie-David

Independent ( email )

Sanjay Ramchander

Colorado State University, Fort Collins - Department of Finance & Real Estate ( email )

Fort Collins, CO 80523
United States
970-491-6681 (Phone)

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