This research examined whether the beta anomaly exists in the REIT market. By analysing a low-minus-high beta strategy and a betting-against-beta strategy in the REIT market, we find that high-beta REITs earn significantly lower risk-adjusted returns than low-beta REITs. This beta anomaly is only significant in the New REIT Era after 1993. The negative relationship between beta and REIT stock return does not disappear after taking into account some firm characteristics, suggesting that the beta anomaly in the REIT market is not driven by beta's correlation with profitability, asset growth, lottery-like return or the skewness of stock returns.We find that institutional investors, whose portfolios increasingly contain a significant proportion of REITs, prefer the high-beta REITs. The exposure of institutional investors to high-beta REITs could explain the beta anomaly in the REIT market.

This research examines whether real estate professionals detected the property bubble and foresaw the consequent financial crisis of [2007][2008]. By analysing the insider trading activities within REITs from 1996 to 2010, we find that REIT insiders reduced their holdings significantly during the real estate boom period as early as 2004, before the financial crisis.Difference-in-difference analysis reveals that REIT insiders cashed out their positions more aggressively than insiders in real estate and construction firms. The findings support the informed trader hypothesis that managers and employees in REITs anticipated the burst of the real estate bubble and the imminent financial crisis, and shifted their wealth away from the real estate market to avoid potential losses. We find no evidence to support the biased belief hypothesis (Cheng et al., 2014) that REIT insiders were over-optimistic during the real estate boom period or that their inside trading behaviour was affected by local market performance.

This study explored the valuation effect of clawback adoption in the REIT market and identified possible channels through which clawback may generate benefits to REITs.We first found that the stock market reacts positively to the announcement of clawback adoption, and that market response is more pronounced when the clawback policy is strong, based on a sample of initial clawback adoptions in REITs between 2007 and 2018. The valuation effect of clawback adoption is stronger among those REITs with higher likelihood of restatements and greater disclosure opacity prior to adoption, suggesting that REIT investors anticipate that the adopted clawbacks will reduce financial restatement risks and improve disclosure quality. Our further analysis found that clawback adoption reduces the chance that REITs will receive comment letters from the regulator, improve financial reporting readability and decrease investment aggressiveness in REITs. Compared with weak clawback adopters, strong adopters have lower incidences of financial restatements in the post-adoption period. Our findings indicate that clawback is a value-relevant corporate governance mechanism in REITs.