Media Content, Infectious Transmission, and REIT Returns

Posted: 4 Aug 2012

See all articles by Fahad Almudhaf

Fahad Almudhaf

Kuwait University - Department of Finance and Financial Institutions

J. Andrew Hansz

E.V. Williams Center for Real Estate

SingRu Hoe

University of Texas at Arlington - Department of Finance and Real Estate

Date Written: August 3, 2012

Abstract

This paper investigates the relationship between financial news content (optimistic/pessimistic), REIT returns, and trading volume. We apply textual analysis and find that high media pessimism predicts downward pressure on REIT returns. Negative words in the financial press are significantly negatively related to REIT returns. We also show that high media optimism predicts higher REIT trading volume. In addition, we find a significant unidirectional Granger causality from both optimism and pessimism to REIT returns and volume. Results using Johansen cointegration suggest that there is a long run relationship between media content and both REIT return and volume. Using EGARCH and TGARCH, we document significant asymmetry (leverage effects) in REIT returns. Interestingly, this indicates that negative shocks (bad news) have a greater impact than positive shocks (good news).

Keywords: Asymmetrical information, Real estate investment trusts, Textual analysis, Media pessimism

Suggested Citation

Almudhaf, Fahad and Hansz, J. Andrew and Hoe, SingRu, Media Content, Infectious Transmission, and REIT Returns (August 3, 2012). Available at SSRN: https://ssrn.com/abstract=2123256

Fahad Almudhaf (Contact Author)

Kuwait University - Department of Finance and Financial Institutions ( email )

Kuwait

J. Andrew Hansz

E.V. Williams Center for Real Estate ( email )

Norfolk, VA 23529-0222
United States
7576833505 (Phone)

SingRu Hoe

University of Texas at Arlington - Department of Finance and Real Estate ( email )

Box 19449 UTA
Arlington, TX 76019
United States

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