Real Estate Investment Trusts and Stock Price Reversals

Larson, Stephen J.

doi:10.1007/s11146-004-4832-x

Cited by 14 publications

(8 citation statements)

References 7 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…On the other hand, underreaction was found for the sample of losers with respect to both informed and uninformed events. The work by Larson (2004) also suggested that the stock price reversals were associated with extreme stock price decliners (5% or less) for real estate investment trusts stocks. Ma, Tang, and Hasan (2005) conducted their study with stocks taken from the Wall Street Journal (WSJ) list.…”

Section: Review Of Literaturementioning

confidence: 99%

Indication of Overreaction with or without Stock Specific Public Announcements in Indian Stock market

Khatua¹,

Pradhan²

2014

Vikalpa: The Journal for Decision Makers

View full text Add to dashboard Cite

Stock market overreacts to both anticipated and unanticipated stock-specific news. But even in the absence of any firm-specific news, evidences of extreme price changes have been observed in the stock market. This particular phenomenon creates the need of further study to examine the existence of overreaction even if there is no specific public news in the market. The present study tries to find out how stocks overreact in the case of unspecified events in comparison to specified news in the Indian stock market. Specified events can be monitored up to a certain extent because of their known and repetitive nature. The magnitude of uniqueness of the unspecified events increases uncertainty. Information diffusion is more asymmetric, which leads to more stock market overreaction. The study also examines whether there is a relationship between the magnitude of price reversals and the magnitude of gain or loss in the stock market return. Significant cumulative abnormal returns are found, indicating the existence of an overreaction effect. It is also found that the magnitude of price reversal is inversely proportional to the stock return during the event period. The overreaction effect continues up to about two days after the event date, for the present sample. Thus, the study provides an understanding of overreaction effects, which would enable investors to prepare trading strategies for higher returns. It can be said that the Indian stocks show strong overreaction and reversal effect. It shows that a trading strategy can be used to make contrarian profit from the overreaction and reversal exhibited by the Indian stocks. An investor could buy the largest percentage losers stocks or sell largest percentage gainers stocks, then sell the former one and buy the latter one after two trading days. In this way, the optimum utilization of overreaction effects may increase investors' return. Overreaction is more prominent in the case of unspecified events rather than specified events. Stock prices overreact to private news but underreact to subsequent public announcements. Overreaction increases due to information asymmetry and leakage. In the case of any macro/global issues, overreaction is also more because of market integration and globalization.

show abstract

Section: Review Of Literaturementioning

confidence: 99%

Indication of Overreaction with or without Stock Specific Public Announcements in Indian Stock market

Khatua¹,

Pradhan²

2014

Vikalpa: The Journal for Decision Makers

View full text Add to dashboard Cite

show abstract

“…Many studies have tried to investigate the behavior of REIT performance. One of the most common scope ofstudies in REITs performance is comparing performance of one or some REITs companies within one jurisdiction (Akinsomi, Ong, Ibrahim, & Newell, 2016;Aro-gordon, 2015;Asteriou & Beigazi, 2013;Bene, Anderson, & Zumpano, 2009;Brown, 2000;Compton, Johnson, Kunkel, & Compton, 2006;Escobari & Jafarinejad, 2016;Hartzell, Kallberg, & Liu, 2008;Hartzell, Sun, & Titman, 2014;Ho & Tay, 2016;Huerta, Jackson, & Ngo, 2015;Larson, 2005;C. Lee, Chien, & Lin, 2012;Liow & Addae-dapaah, 2010;Lu, Chen, & Liao, 2014;Olanrele, Said, & Daud, 2014;Pellerin et al, 2013;Quek & Ong, 2008;San, Heng, & Pong, 2011;Yung, Li, & Jian, 2017), with USA market is the most studied so far, which is not surprising because USA REITs market is the mature one in the world.…”

Section: Reits Performance Risk and Volatilitymentioning

confidence: 99%

Literature Review on REITs and Islamic REITs and Lessons Learned for Islamic REITs in Indonesia

Indrawan

Wahyuningsih

2019

ijief

View full text Add to dashboard Cite

Real Estate Investment Trusts (REITs) as a new instrument in many capital markets is an interesting topic.Although not yet to be popular globally, REITs has gained popularity as flexible, cost efficient and profitable real estate investment vehicle for investors as well as provide liquidity for real estate sector, especially in advanced markets like in US, Japan and Singapore. The emergence of Islamic Financial Institutions (IFIs) coincided with increasing popularity of REITs open opportunity for development of Islamic REITs (I-REITs) as competitive but sharia compliant REITs compared to the conventional one. The dominance of Malaysia as market player of I-REITs as well as many underresearched areas open opportunity for betterment of the current I-REITs markets. This paper is a literature review with two objectives. First, to compile and review existing articles on REITs, both conventional and Islamic, and second, to gain lesson learned as material for development of I-REITs in Indonesia as ultimate goal. It is expected that this literature review will generate ideas for future development proposals on I-REITs, particularly in Indonesia. This study found that literature on I-REITs is relatively thin compared to its conventional counterparts, and Indonesia is still left behind in I-REITs development despite regulatory framework is already in force. Therefore, further effort to promote supply and demand of I-REITs in Indonesia should be taken as a way to diversify Islamic investment avenues for sharia oriented investors.

show abstract

“…However, this is not the real REITs. REITs in most countries can be traded in stock exchanges [14,37] , and this paper assumes that the low-rent housing REITs can be traded in stock market, which is the ultimate development direction of the REITs market in China.…”

Section: The Structure Of Low-rent Housing Reits In Chinamentioning

confidence: 99%

Financing of Low-Rent Housing REITs in China

Xiao-xin¹,

Wu²,

Li³

et al. 2013

Journal of Systems Science and Information

View full text Add to dashboard Cite

Taking the special features of the Chinese real estate market and financial market into account, this paper explores the application of real estate investment trusts (REITs) in low-rent housing and introduces an agent-based simulation model for low-rent housing REITs in the issuing and trading markets. Overcoming the difficulty of lacking relevant REITs models and data in China, We find that how the rental income and government subsidy, market fixed interest rate, dividend proportion of low-rent housing REITs and market surplus fund influence the financing of low-rent housing REITs.

show abstract

Real Estate Investment Trusts and Stock Price Reversals

Cited by 14 publications

References 7 publications

Indication of Overreaction with or without Stock Specific Public Announcements in Indian Stock market

Indication of Overreaction with or without Stock Specific Public Announcements in Indian Stock market

Literature Review on REITs and Islamic REITs and Lessons Learned for Islamic REITs in Indonesia

Financing of Low-Rent Housing REITs in China

Contact Info

Product

Resources

About