Institutional Ownership and the Dynamics of Trading Volume Around FFO

Posted: 19 Jun 2014

See all articles by Frank Gyamfi-Yeboah

Frank Gyamfi-Yeboah

Georgia State University

Alan J. Ziobrowski

Georgia State University - Department of Real Estate

Philip Seagraves

Middle Tennessee State University

Date Written: June 18, 2014

Abstract

We examine the effect of institutional ownership on abnormal trading volume around the announcement of funds from operations (FFO) by real estate investment trusts (REITs). Our central thesis is that abnormal trading volume is lower for the more informed institutions vis a vis non-sophisticated retail investors/institutions. We find a negative relationship between ownership by pension funds and abnormal trading volume around quarterly FFO announcements. However, ownership by pension funds and abnormal trading volume around quarterly FFO announcements. However, ownership by the other types of institutions is unrelated to abnormal trading volume. Consistent with the view that some institutional investors are more informed than individual investors and therefore respond less to end of year announcements, we find that higher ownership by investment advisors is associated with lower levels of trading volume around end of year FFO announcements. Lastly, we find no evidence of institutional sell-offs associated with announcements of less than expected FFO.

Keywords: FFO; Trading volume; Institutional ownership; REITs

Suggested Citation

Gyamfi-Yeboah, Frank and Ziobrowski, Alan J. and Seagraves, Philip, Institutional Ownership and the Dynamics of Trading Volume Around FFO (June 18, 2014). Journal of Real Estate Finance and Economics, Vol. 49, No. 1, 2014. Available at SSRN: https://ssrn.com/abstract=2456263

Frank Gyamfi-Yeboah

Georgia State University ( email )

35 Broad Street
Atlanta, GA 30303-3083
United States

Alan J. Ziobrowski (Contact Author)

Georgia State University - Department of Real Estate ( email )

P.O. Box 4020
Atlanta, GA 30303-4020
United States
404-651-2760 (Phone)
404-651-2760 (Fax)

Philip Seagraves

Middle Tennessee State University ( email )

Murfreesboro, TN 37132
United States

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