Document Type

Article

Publication Date

2004

Publication Title

International Real Estate Review

Volume

7

Issue

1

Pages

56-70

Abstract

We examine short interests in equity real estate investment trusts (REITs) between 1994 and 2001. Our results show that only high levels (the 90th percentile) of short interest are associated with significant negative REIT returns as the bearish content of short interest may have been mitigated by the favorable risk characteristics of real estate securities. In addition, the significant negative relationship between short interest and REIT returns applies only to REITs with poor performance. The result implies that the bearish sentiment of short interest could aslo be mitigated by good REIT managers in a real estate market that is informationally efficient. The results of a logistic regression model further show that the short selling of REIT shares can be explained by firm-specific factors such as operating efficiency, fundamental value, and liquidity. Given that short interest is not indiscriminately associated with negative REIT returns and that the short positions are firm-specific, the results are consistent with implications that short interests in REITs represent attempts to make short-term profits rather than general bearishness regarding real estate investments.

Rights

© 2004 IRER. All rights reserved.

Included with the kind written permission of the copyright holder.

Original Publication Citation

Li, D. D., & Yung, K. (2004). Short interests in real estate investment trusts. International Real Estate Review, 7(1), 56-70. https://www.gssinst.org/irer/wp-content/uploads/2020/10/vol-7-short-interest-in-real-estate-investment-trusts.pdf

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