caa a22 4500 445316470 CHVBK 20180317142649.0 cr unu---uuuuu 170323e20110701xx s 000 0 eng 10.1007/s11146-010-9254-3 doi (NATIONALLICENCE)springer-10.1007/s11146-010-9254-3 What Determines Stock Price Synchronicity in REITs? [Elektronische Daten] [Richard Chung, Scott Fung, James Shilling, Tammie Simmons-Mosley] This paper studies the behavior of REIT stock price synchronicity for the years 1997 through 2006. Theory suggests that REIT stock prices should be largely independent of market changes; and, at the very least, REITs should have a low covariance with other assets, including other REIT stocks. The evidence presented below does not support this view. Instead, synchronicity appears to be quite high in the equity REIT market, especially among REITs that larger and more liquid. We also find that REIT stock price synchronicity is negatively related to hedge fund ownership, but positively related to pension fund and insurance company ownership. The evidence further suggests that synchronicity is the highest among industrial and regional mall REITs, and lower among apartment, health care, and mixed property REITs. Springer Science+Business Media, LLC, 2010 Asset pricing nationallicence Synchronicity nationallicence Hedge funds nationallicence Other private financial institutions nationallicence Chung Richard Hong Kong Polytechnic University, Kowloon, Hong Kong aut Fung Scott California State University, East Bay, Hayward, CA, USA aut Shilling James DePaul University, Chicago, IL, USA aut Simmons-Mosley Tammie California State University, East Bay, Hayward, CA, USA aut The Journal of Real Estate Finance and Economics Springer US; http://www.springer-ny.com 43/1-2(2011-07-01), 73-98 0895-5638 43:1-2<73 2011 43 11146 https://doi.org/10.1007/s11146-010-9254-3 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11146-010-9254-3 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Chung Richard Hong Kong Polytechnic University, Kowloon, Hong Kong aut NATIONALLICENCE 700 1- Fung Scott California State University, East Bay, Hayward, CA, USA aut NATIONALLICENCE 700 1- Shilling James DePaul University, Chicago, IL, USA aut NATIONALLICENCE 700 1- Simmons-Mosley Tammie California State University, East Bay, Hayward, CA, USA aut NATIONALLICENCE 773 0- The Journal of Real Estate Finance and Economics Springer US; http://www.springer-ny.com 43/1-2(2011-07-01), 73-98 0895-5638 43:1-2<73 2011 43 11146 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer