Akimov, Alexey and Hutson, Elaine and Stevenson, Simon (2016) The interaction of volatility, volume and skewness:empirical evidence from REITs. Journal of Real Estate Portfolio Management, 22 (1). pp. 1-17. ISSN 1083-5547
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Official URL: https://doi.org/10.5555/1083-5547-22.1.1
Abstract
In this paper, we consider how trading volume impacts the first three moments of real estate investment trust (REIT) returns. Consistent with previous studies of the broader stock market, we find that volume is a significant factor with respect to both returns and volatility. We also find evidence supportive of Hong and Stein's (2003) Investor Heterogeneity Theory with respect to the finding that skewness in REIT index returns is significantly related to volume.
Item Type:
Journal Article
Journal or Publication Title:
Journal of Real Estate Portfolio Management
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2000/2001
Subjects:
?? MANAGEMENT INFORMATION SYSTEMSECONOMICS, ECONOMETRICS AND FINANCE (MISCELLANEOUS) ??
Departments:
ID Code:
80099
Deposited By:
Deposited On:
06 Mar 2017 11:48
Refereed?:
Yes
Published?:
Published
Last Modified:
20 Sep 2023 00:52