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 REIT behavior around extreme market price occurrences. In general, we find that REITs that have higher liquidity and 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 stronger liquidity...

In this research, we investigate the effects of changes in and levels of selected macroeconomic variables on the liquidity of Real Estate Investment Trust (REIT, henceforth) stocks. We study in particular REIT market trading liquidity and REIT funding liquidity. We use debt service coverage...

The traditional modern portfolio model posits that return is a function of beta—the stock's sensitivity to market movements. However, much research suggests that on an empirical basis this expectation does not hold. Pettengill, Sundaram and Mathur (1995) [PSM] suggest that the problem is that...

Recent literature has shown that liquidity is important in explaining price effects for firms and firm decisions. For example, see Morellec (2001) and Bharath et al (2009). We follow and extend that literature by looking at the liquidity of market based options to forecast REIT capital structure...