Intra-industry momentum: the case of REITs

By A. Chui, Sheridan Titman, K. Wei. 2003

125 citations recorded by the source corpus.

Real estate investment trusts (REITs) provide a good setting to examine intra-industry momentum. The industry is relatively homogenous and well defined, and the industry experienced structural changes that allow us to test alternative explanations for the observed momentum effect. Specifically, we test predictions that relate to investor overconfidence (based on Daniel, Hirshleifer and Subrahmanyam (1998)) and the speed of information diffusion (based on Hong and Stein (1999)). The first predicts a stronger momentum effect in REITs during the post-1990 period than during the pre-1990 period due to more valuation uncertainty in the post-1990 period. The second predicts a more pronounced momentum effect in REITs during the pre-1990 period than during the post-1990 period due to the higher speed of information diffusion in the post-1990 period. Our findings tend to support the first prediction. Specifically, while we do not find a momentum effect in REITs during the pre-1990 period, we find a strong and prevalent momentum effect in REITs in the post-1990 period.

Subfields: Accounting, Economics and Econometrics, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/5d21c44d0903b75272426d66b2f8a25c2dbdc242

Citations in the corpus

• House prices, fundamentals and bubbles (2006, unknown): “2 Momentum behaviour has also been reported for the US securitised real estate market (Chui et al., 2003) and evidence of bubbles in property stocks listed on the UK stock market is found by Brooks et al.”