We examine the diversification properties of holding listed REITs versus listed property companies (LPCs). If holding LPCs in addition to REITs provides excess diversification benefits, this would imply that investors have a larger pool of real estate assets in which to invest. Preliminary...

We find that the Value Line effect is confined to U.S. stocks. U.S. listed stocks significantly outperform their benchmarks long after Value Line Timeliness rank change announcements. In contrast, we find no evidence of a Value Line effect for recommendations made for foreign stocks that list on...

We examine the diversification properties of holding listed REITs versus listed property companies (LPCs). If holding LPCs in addition to REITs provides excess diversification benefits, this would imply that investors have a larger pool of real estate assets in which to invest. Preliminary...

We investigate the long- and short-term interrelationships between equity and mortgage real estate investment trusts (REITs) by focusing on decomposed income and appreciation components. We find that the previously documented long-term cointegration relation between equity and mortgage REIT...

Diltz, J. David

This study comprehensively reexamines the debate over behavioral and rational explanations for the investment effect in an updated sample. We closely follow the previous literature and provide several differences. All our tests include five prominent measures of corporate investment and...

This study comprehensively reexamines the debate over behavioral and rational explanations for the investment effect in an updated sample. We closely follow the previous literature and provide several differences. All our tests include five prominent measures of corporate investment and...