The Role of Correlated Trading in Setting REIT Prices

The Role of Correlated Trading in Setting REIT Prices This study investigates the role of correlated trading by individuals in setting equity real estate investment trust (REIT) prices. Consistent with existing literature, this study finds that there is a common element in correlated trades that drives both traditional closed-end fund prices and REIT prices. Perhaps more important, we find evidence suggesting that (1) the effects of correlated trading on REIT prices are stronger for those REITs that are hypothesized to be preferred by individual investors, and (2) this linkage is stronger when the REIT market is hot and exuberant; i.e., when the average share turnover in the REIT market is high. The Journal of Real Estate Finance and Economics Springer Journals

The Role of Correlated Trading in Setting REIT Prices

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Springer US
Copyright © 2009 by Springer Science+Business Media, LLC
Economics; Regional/Spatial Science; Financial Services
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