The Price Behavior of REITs Surrounding Extreme Market-Related Events

Posted: 24 Sep 2015

See all articles by John L. Glascock

John L. Glascock

University of Connecticut - School of Business - Center for Real Estate and Urban Economic Studies; European Business School

Ran Lu-Andrews

California Lutheran University, School of Management

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Date Written: September 15, 2015

Abstract

We examine REIT behavior around extreme market-wide price occurrences. In general, we find that REITs that have higher levels of liquidity and that are larger in size tend to impound information more quickly and reverse more speedily after an extreme event. Also, we find that Equity REITs have stronger liquidity effects and Mortgage REITs have stronger size effects. Exante beta is also useful in explaining price behavior. For example, pre-betas are significantly positively related to turnover ratios; while pre-event betas are negatively associated with quoted bid-ask spreads. This implies a high-beta, high-liquidity relation for REIT stocks. Additionally, we find that large REIT stocks have high pre-event betas. Overall, the stronger explanatory variables are liquidity and size in determining price movements around extreme market events for REIT stocks.

Keywords: Liquidity; REITs; Extreme market events; Event study; Beta

Suggested Citation

Glascock, John L. and Lu-Andrews, Ran, The Price Behavior of REITs Surrounding Extreme Market-Related Events (September 15, 2015). Journal of Real Estate Finance and Economics, Vol. 51, No. 4, 2015, Available at SSRN: https://ssrn.com/abstract=2661000

John L. Glascock

University of Connecticut - School of Business - Center for Real Estate and Urban Economic Studies ( email )

Storrs, CT 06269
United States

European Business School ( email )

Gustav-Stresemann-Ring 3
Wiesbaden, Hessen 65189
Germany

Ran Lu-Andrews (Contact Author)

California Lutheran University, School of Management ( email )

60 W. Olsen Road
School of Management
Thousand Oaks, CA California 91360
United States

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