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 …

-in-mean model and examine the effects of idiosyncratic volatility and aggregate market volatility on asset returns. There are four … key findings. First, momentum returns display asymmetric volatility. Momentum returns in REITs are higher when volatility … aggregate market volatility, with the magnitude of the relationship is larger for losers than for winners …