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| 期刊詳細資料 Journal detailed information |
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| 作者(Author) | Chia-Wu Lu,Tsung-Kang Chen,Hsien-Hsing Liao |
| 篇名(Article title) | Underlying asset liquidity,heterogeneously informed investors, and REITs excess
returns |
| 期刊名(Journal name) | Managerial Finance |
| 國際期刊(International Journal) | Econlit |
| 中文摘要(Abstrct) | |
| ABSTRCT | Purpose – Real estate investment trust (REIT) stocks are well known for limited management
discretion in investment, financing, and payout policies, implying little information asymmetry
between informed and uninformed investors. Besides, due to the renowned illiquidity and complexity
of physical real estate markets, investors may be heterogeneously informed. The authors aim to
investigate these arguments using REIT panel data from 1993 to 2010.
Design/methodology/approach – The authors simultaneously investigate the effects of
heterogeneous information (PSOS) and information asymmetry (ADJPIN) on REIT excess returns
by estimating panel data regressions controlling for both firm- and time-fixed effects.
Findings – The results confirm that heterogeneous information (PSOS) is significantly and
positively associated with REIT excess returns while information asymmetry (ADJPIN) is
insignificant when controlling for other variables well known for affecting REIT excess returns.
Originality/value – The effects of information asymmetry (ADJPIN) and heterogeneous information
(PSOS) on REITs excess returns are rarely simultaneously discussed in the related literature,
especially from the perspectives of limited managerial discretions, regulated dividend policy, and
underlying asset liquidity (physical real estate markets). The results confirm the heterogeneous
information arguments. Besides, the heterogeneous information (PSOS) effects become stronger when
leverage and dividend yield are higher. Finally, the above effects of PSOS and ADJPIN on REIT excess
returns are also robust during the real estate market growth period (2001-2008). |
| 中文關鍵字(Keyword) | |
| KEYWORD | Financial markets, Risk, Real estate, Information, Returns |
| 卷期(Volume No) | Vol.40 No.1 |
| 頁數(Page number) | PP.72~96 |
| 年份(Year) | 2014/1 |
| 語言(Language) | 2 |
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