Institutional Property-Type Herding in Real Estate Investment Trusts
| Autor: | Edward Nelling, Viktoriya Lantushenko |
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| Rok vydání: | 2016 |
| Předmět: |
Economics and Econometrics
050208 finance Financial economics business.industry 05 social sciences Institutional investor Real estate Urban Studies Momentum (finance) Accounting Real estate investment trust 0502 economics and business Portfolio Herding 050207 economics business Herd behavior Finance Financial services |
| Zdroj: | The Journal of Real Estate Finance and Economics. 54:459-481 |
| ISSN: | 1573-045X 0895-5638 |
| DOI: | 10.1007/s11146-016-9553-4 |
| Popis: | This study examines whether institutional investors exhibit herding behavior by property type in real estate investment trusts (REITs). Our analysis of changes in institutional portfolio holdings indicates strong evidence of this behavior. We analyze the autocorrelation in aggregate institutional demand, and find that most of it is driven by institutional investors following the trades of others. This herding occurs at the property-type level, and not at the individual firm level. Although momentum trading explains a small amount of this herding, institutional property-type demand is more strongly associated with lagged demand than lagged returns. The results suggest that correlated information signals drive herding in REITs. In addition, we examine the extent to which herding in REIT property types affects price performance in the private real estate market. We find that information transmission resulting from institutional herding in REITs occurs faster in public real estate markets than in private markets. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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