What Determines Stock Price Synchronicity in REITs?

Posted: 2 Apr 2011

See all articles by Richard Chung

Richard Chung

The Hong Kong Polytechnic University

Scott Fung

California State University, East Bay

James D. Shilling

DePaul University; National Bureau of Economic Research (NBER)

Tammie Simmons-Mosley

California State University, East Bay - Department of Management

Date Written: March 31, 2011

Abstract

This paper studies the behavior of REIT stock price synchronicity for the years 1997 through 2007. Theory suggests that REIT stock prices should be largely independent of market changes; and, at the very least, REITs should have a low covariance with other assets, including other REIT stocks. The evidence presented below does not support this view. Instead, synchronicity appears to be quite high in the equity REIT market, especially among REITs that larger and more liquid. We also find that REIT stock price synchronicity is negatively related to hedge fund ownership, but positively related to pension fund and insurance company ownership. The evidence further suggests that synchronicity is the highest among industrial and regional mall REITs, and lower among apartment, health care, and mixed property REITs.

Keywords: Asset pricing, Synchronicity, Hedge funds, and other private financial institutions

JEL Classification: G12, G20, G23

Suggested Citation

Chung, Richard and Fung, Scott Siu Kuen and Shilling, James D. and Simmons-Mosley, Tammie, What Determines Stock Price Synchronicity in REITs? (March 31, 2011). Journal of Real Estate Finance and Economics, Vol. 43, No. 1, 2011. Available at SSRN: https://ssrn.com/abstract=1800070

Richard Chung

The Hong Kong Polytechnic University ( email )

School of Accounting & Finance
Hung Hom, Kowloon
Hong Kong

Scott Siu Kuen Fung

California State University, East Bay ( email )

25800 Carlos Bee Boulevard
Hayward, CA 94542
United States

James D. Shilling (Contact Author)

DePaul University ( email )

1 East Jackson Blvd.
Chicago, IL 60604
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Tammie Simmons-Mosley

California State University, East Bay - Department of Management ( email )

25800 Carlos Bee Boulevard
Hayward, CA 94542
United States

Register to save articles to
your library

Register

Paper statistics

Abstract Views
832
PlumX Metrics