REIT returns and volatility over the sample period from December 2001 to February 2013. We find that the liquidity crisis … negatively impacts REIT returns and helps explain increases in volatility; this finding is robust to multiple specifications. We …

investor sentiment on REIT industry returns and conditional volatility. Empirical results suggest that changes in institutional … investor sentiment have a larger effect on REIT industry returns and volatility than do changes in individual investor … significantly larger impact on returns and volatility than bullish shifts. Our findings suggest that noise traders impose …

REIT returns and volatility over the sample period from December 2001 to February 2013. We find that the liquidity crisis … negatively impacts REIT returns and helps explain increases in volatility; this finding is robust to multiple specifications. We …

replaced with one of the four trend following (TF) strategies. The portfolios deliver similar returns but volatility is reduced …