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