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 …The real estate investment trust (REIT) industry experienced a liquidity crisis resulting from reduced access to credit …

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 …

In this paper, we consider how trading volume impacts the first three moments of real estate investment trust (REIT … respect to both returns and volatility. We also find evidence supportive of Hong and Stein's (2003) Investor Heterogeneity … Theory with respect to the finding that skewness in REIT index returns is significantly related to volume …

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 …

We examine the market for U.S. equity real estate investment trusts (REITs) for evidence of the volatility effect, in … which low volatility stocks tend to outperform high volatility ones, as has been found in the general equity market by prior … research. While there is some evidence of a volatility effect in the first ten years of the sample, this disappears in a more …

existence of three market regimes (low, high and extreme or crash volatility) with transition ordered as ‘low, high and crash … volatility'. Although static herding model rejects the existence of herding in REITs markets, estimates of the regimes switching … model reveal substantial evidence of herding behaviours under the low volatility regime. Most interestingly we observe a …

We study the relation between REIT stock volatility and future returns, focusing particularly on the financial crisis … that REIT implied volatility is negatively related to contemporaneous stock returns; there is a significant positive … relationship between REIT implied volatility and future stock volatility; and there is a significant negative relation between REIT …