-memory behavior is established for REITs volatility, although mean reversion is slower during and after the crisis. These results are …

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 …

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

We study the relation between REIT stock volatility and future returns, focusing particularly on the financial crisis … period of 2007-2009. There is ongoing debate about whether stock volatility can forecast future returns. Our findings suggest … that REIT implied volatility is negatively related to contemporaneous stock returns; there is a significant positive …