This study examines whether volatility of REIT returns can transmit across national borders. Two competing hypotheses … national borders. Using GARCH and EGARCH econometric models, international spillovers of volatility of REIT returns are found …

respect to both returns and volatility. We also find evidence supportive of Hong and Stein's (2003) Investor Heterogeneity …

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 …