Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/123499 
Year of Publication: 
21-Nov-2015
Publisher: 
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft, Kiel und Hamburg
Abstract: 
The real estate investment trust (REIT) industry experienced a liquidity crisis resulting from reduced access to credit commitments as banks were restoring their balance sheets during the 2007-2009 financial crisis. Employing generalized autoregressive conditional heteroscedasticity (GARCH) models we examine the impact of the liquidity crisis and investor sentiment on REIT returns and volatility over the sample period from December 2001 to February 2013. We find that the liquidity crisis negatively impacts REIT returns and helps explain increases in volatility; this finding is robust to multiple specifications. We show that investor sentiment is a significant factor in explaining the REIT return generating process with institutional sentiment playing a dominating role over individual sentiment; furthermore, institutional sentiment was the only relevant sentiment variable during liquidity crisis.
Subjects: 
Investor Sentiment
Liquidity Crisis
REIT returns
REIT volatility
GARCH-M
JEL: 
G11
G14
G23
Document Type: 
Working Paper

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