Journal article
Institutional Property-Type Herding in Real Estate Investment Trusts
The journal of real estate finance and economics, v 54(4), pp 459-481
01 May 2017
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
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.
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Details
- Title
- Institutional Property-Type Herding in Real Estate Investment Trusts
- Creators
- Viktoriya Lantushenko - Saint Joseph's UniversityEdward Nelling - Drexel University
- Publication Details
- The journal of real estate finance and economics, v 54(4), pp 459-481
- Publisher
- Springer Nature
- Number of pages
- 23
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Finance
- Web of Science ID
- WOS:000399456000001
- Scopus ID
- 2-s2.0-84960116960
- Other Identifier
- 991019169797004721
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InCites Highlights
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- Collaboration types
- Domestic collaboration
- Web of Science research areas
- Business, Finance
- Economics
- Urban Studies