Investor attention and the expected returns of reits
Investor attention and the expected returns of reits
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DOI：
10.1016/j.iref.2016.12.009
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发表时间：
2017-03-01
影响因子：
4.5
通讯作者：
Nafar, Nadia
中科院分区：
文献类型：
--
作者：
Yung, Kenneth;Nafar, Nadia
本研究探讨散户投资者注意力对REITs预期收益的影响。Barber和Odean（2008）的注意力诱导价格压力假说表明，注意力的增加会导致购买的增加，从而暂时推高价格和回报。价格和回报的上升趋势随后出现逆转。我们使用Google Trends中的搜索量指数（SVI）数据检验了2004年至2012年REITs的注意力假设。我们发现，房地产投资信托基金，产生高的零售投资者的关注，衡量SVI，赚取更高的回报率相比，不产生零售投资者的关注。结果是由小股票和高账面市值比的股票驱动的。我们报告说，SW效应不是由于交易障碍和推测，SW增加了零售投资者的认可，房地产投资信托基金的特点是信息不完整，导致更高的回报。随着时间的推移，这种回报率的增加会出现逆转。
This study investigates the effect of retail investor attention on the expected returns of REITs. The attention-induced price pressure hypothesis of Barber and Odean (2008) suggests that increased attention leads to increased buying, which temporarily pushes prices and returns higher. This upward trend in prices and returns is followed by a reversal. We test the attention hypothesis on REITs from 2004 to 2012 using Search Volume Index (SVI) data in Google Trends. We find that REITs that generate high retail investor attention, as measured by SVI, earn higher returns compared to REITs that generate no retail investor attention. The results are driven by small stocks and stocks with high book to market ratio. We report that the SW effect is not due to impediments to trade and conjecture that SW increases retail investor recognition among REITs that are characterized by information incompleteness, leading to higher returns. Over time, this increase in returns is followed by a reversal.