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Market Microstructure and Real Estate Returns
Author(s) -
Wang Ko,
Erickson John,
Gau George,
Chan Su Han
Publication year - 1995
Publication title -
real estate economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.064
H-Index - 61
eISSN - 1540-6229
pISSN - 1080-8620
DOI - 10.1111/1540-6229.00659
Subject(s) - real estate investment trust , real estate , business , stock (firearms) , stock market , financial economics , monetary economics , institutional investor , economics , financial system , finance , corporate governance , mechanical engineering , paleontology , horse , engineering , biology
This paper examines the Real Estate Investment Trust (REIT) market microstruc‐ture and its relationship to stock returns. When compared with the general stock market, REIT stocks tend to have a lower level of institutional investor participation and are followed by fewer security analysts. In addition, REIT stocks that have a higher percentage of institutional investors or are followed by more security analysts tend to perform better than other REIT stocks. Our results seem to confirm Jensen's (1993, p. 868) proposition that ownership structure (that is, who owns the firm's securities) affects the value of the firm. Our findings also have implications about the well documented phenomenon that the financial performance of Commingled Real Estate Funds (CREFs) is better than that of REITs.