Price Signaling and Return Chasing: International Evidence from Maturing REIT Markets
研究了1990-2015年10个国际房地产证券市场的流动性，发现流动性普遍上升但市场间差异大，并首次提供了国际回报追逐行为的一致证据，该行为受市场效率、市场成熟度和股权分散度影响。
Abstract This article examines the liquidity of international real estate securities across 10 markets over the period 1990–2015. We apply and compare results for four different measures of liquidity, and find that while liquidity has increased consistently, wide variations still exist across markets, with the United States and Japan in the lead. Our results also suggest that the introduction of local REIT regimes did not have any pervasive effects on stock liquidity. When we study the relationship between liquidity and returns, we document new and consistent evidence for international return chasing behavior, whose pattern is a function of local market efficiency, listed real estate market maturity and stock ownership dispersion. The introduction of REIT regimes seems to weaken the importance of extra performance over and above general equity returns as investors tend to allocate funds to real estate securities within real estate rather than equity portfolios.