This study extends the early empirical evidence of sentiment risk spillovers on firms within the same category (Barberis, Shleifer and Wurgler, 2005) and across the overlapping category (Ambrose et al., 2007) to other firms in a non-overlapping but correlated category. Using the first six REITs'...

Time on the market (TOM) has been widely tested in the US real estate literature using listing and selling data of houses captured in the multiple listing services (MLSs). Unfortunately in the UK there are no MLSs so it is not possible to undertake similar analyses. The approach adopted in this...

Purpose – Understanding correlations between stock and direct real estate returns, which is the key factor that determines diversification benefits in a portfolio, helps formulate and implement better investors' asset allocation and risk management strategies. The past studies find that direct...