The Interaction of Volatility, Volume and Skewness: Empirical Evidence from REITs

24 Pages Posted: 13 Feb 2017

See all articles by Alexey Akimov

Alexey Akimov

Lancaster University Management School

Elaine Hutson

Monash University - Dept of Banking and Finance; Financial Research Network (FIRN)

Simon Stevenson

University of Reading - Henley Business School

Date Written: June 1, 2016

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.

Keywords: REITs, volume, skewness, volatility

JEL Classification: G1, G12

Suggested Citation

Akimov, Alexey and Hutson, Elaine and Stevenson, Simon, The Interaction of Volatility, Volume and Skewness: Empirical Evidence from REITs (June 1, 2016). Journal of Real Estate Portfolio Management, Vol. 22, No. 1, 2016, Available at SSRN: https://ssrn.com/abstract=2915754

Alexey Akimov (Contact Author)

Lancaster University Management School ( email )

Department of Accounting & Finance
Bailrigg
Lancaster, Lancashire LA1 4YX
United Kingdom
+44 1524 593635 (Phone)

HOME PAGE: http://www.lancaster.ac.uk/lums/people/all/alexey-akimov/

Elaine Hutson

Monash University - Dept of Banking and Finance ( email )

PO Box 197
Caulfield East, Victoria 3145
Australia
+61399032110 (Phone)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Simon Stevenson

University of Reading - Henley Business School ( email )

Greenlands
Reading, Henley on Thames RG6 6AH
United Kingdom

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