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The interaction of volatility, volume and skewness: empirical evidence from REITs

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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The interaction of volatility, volume and skewness: empirical evidence from REITs. / Akimov, Alexey; Hutson, Elaine; Stevenson, Simon.
In: Journal of Real Estate Portfolio Management, Vol. 22, No. 1, 01.06.2016, p. 1-17.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Akimov, A, Hutson, E & Stevenson, S 2016, 'The interaction of volatility, volume and skewness: empirical evidence from REITs', Journal of Real Estate Portfolio Management, vol. 22, no. 1, pp. 1-17. https://doi.org/10.5555/1083-5547-22.1.1

APA

Akimov, A., Hutson, E., & Stevenson, S. (2016). The interaction of volatility, volume and skewness: empirical evidence from REITs. Journal of Real Estate Portfolio Management, 22(1), 1-17. https://doi.org/10.5555/1083-5547-22.1.1

Vancouver

Akimov A, Hutson E, Stevenson S. The interaction of volatility, volume and skewness: empirical evidence from REITs. Journal of Real Estate Portfolio Management. 2016 Jun 1;22(1):1-17. doi: 10.5555/1083-5547-22.1.1

Author

Akimov, Alexey ; Hutson, Elaine ; Stevenson, Simon. / The interaction of volatility, volume and skewness : empirical evidence from REITs. In: Journal of Real Estate Portfolio Management. 2016 ; Vol. 22, No. 1. pp. 1-17.

Bibtex

@article{f7934399956d4c908ad54f17c41a3917,
title = "The interaction of volatility, volume and skewness: empirical evidence from REITs",
abstract = "In this paper, we consider how trading volume impacts the first three moments of real estate investment trust (REIT) returns. Consistent with previous studies of the broader stock market, we find that volume is a significant factor with respect to both returns and volatility. We also find evidence supportive of Hong and Stein's (2003) Investor Heterogeneity Theory with respect to the finding that skewness in REIT index returns is significantly related to volume.",
author = "Alexey Akimov and Elaine Hutson and Simon Stevenson",
year = "2016",
month = jun,
day = "1",
doi = "10.5555/1083-5547-22.1.1",
language = "English",
volume = "22",
pages = "1--17",
journal = "Journal of Real Estate Portfolio Management",
issn = "1083-5547",
publisher = "American Real Estate Society",
number = "1",

}

RIS

TY - JOUR

T1 - The interaction of volatility, volume and skewness

T2 - empirical evidence from REITs

AU - Akimov, Alexey

AU - Hutson, Elaine

AU - Stevenson, Simon

PY - 2016/6/1

Y1 - 2016/6/1

N2 - In this paper, we consider how trading volume impacts the first three moments of real estate investment trust (REIT) returns. Consistent with previous studies of the broader stock market, we find that volume is a significant factor with respect to both returns and volatility. We also find evidence supportive of Hong and Stein's (2003) Investor Heterogeneity Theory with respect to the finding that skewness in REIT index returns is significantly related to volume.

AB - In this paper, we consider how trading volume impacts the first three moments of real estate investment trust (REIT) returns. Consistent with previous studies of the broader stock market, we find that volume is a significant factor with respect to both returns and volatility. We also find evidence supportive of Hong and Stein's (2003) Investor Heterogeneity Theory with respect to the finding that skewness in REIT index returns is significantly related to volume.

U2 - 10.5555/1083-5547-22.1.1

DO - 10.5555/1083-5547-22.1.1

M3 - Journal article

VL - 22

SP - 1

EP - 17

JO - Journal of Real Estate Portfolio Management

JF - Journal of Real Estate Portfolio Management

SN - 1083-5547

IS - 1

ER -