Market Microstructure and Real Estate Returns
研究了房地产投资信托（REIT）的市场微观结构及其与股票回报的关系，发现机构投资者参与度低和分析师关注度少的REIT表现较差，而机构持股比例高或分析师关注多的REIT表现更好。
This paper examines the Real Estate Investment Trust (REIT) market microstruc‐ture and its relationship to stock returns. When compared with the general stock market, REIT stocks tend to have a lower level of institutional investor participation and are followed by fewer security analysts. In addition, REIT stocks that have a higher percentage of institutional investors or are followed by more security analysts tend to perform better than other REIT stocks. Our results seem to confirm Jensen's ( 1993 , p. 868) proposition that ownership structure (that is, who owns the firm's securities) affects the value of the firm. Our findings also have implications about the well documented phenomenon that the financial performance of Commingled Real Estate Funds (CREFs) is better than that of REITs.