In this research, we investigate the effects of changes in and levels of selected macroeconomic variables on the liquidity of REIT stocks. We study in particular REIT market trading liquidity and REIT funding liquidity. We use debt service coverage ratios, loan-to-value ratios and the number of...

We examine REIT behavior around extreme market-wide price occurrences. In general, we find that REITs that have higher levels of liquidity and that are larger in size tend to impound information more quickly and reverse more speedily after an extreme event. Also, we find that Equity REITs have...

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 whether Real Estate Investment Trust (REIT) managers actively manipulate performance measures in spite of the strict regulation under the REIT regime. We provide empirical evidence that is consistent with this hypothesis. Specifically, manipulation strategies may rely on the...

The question of whether or not REITs compete for scarce capital across geographic space is deserving of attention. In this study we consider the issue of spatial competition among REITs across U.S. states in terms of the degree of interdependencies in financial capital demand. First, we motivate...

In this paper the inflation hedging characteristics of Hong Kong real estate market are examined using 1998-2006 data. Both short-term and long-term methods are used. The short-term method follows Fama and Schwert framework. To separate expected and unexpected inflation rate from nominal...

This study examines the behavior of the excess returns of publicly-listed real estate firms whose shares are traded in Japan, Taiwan, Hong Kong, South Korea, Singapore, and Thailand in widely-varying market situations. The results indicate that the publicly-traded stocks of real estate firms in...

This work analyzes the performance and diversification characteristics of European public real estate markets. There are three overall findings and one key observation. First, real estate has added significantly to overall portfolio outcomes in terms of increasing return and decreasing risk....

We examine and test the merits of diversifying portfolios of real estate securities internationally and by property type. Our analysis covers the period February 1990 through November 2002. Using data from the Global Property Research General Property Securities Index, which has monthly prices...

REITs are viewed as low risk/low return stocks that exhibit defensive stock characteristics. The stock market decline of October 1997 provides an excellent opportunity to examine the riskiness of REITs during high levels of market uncertainty. We find that the decline in REIT stock values was...