Disposition Effects of Real Estate Investment Trusts and Stocks of Construction Industry
Date Issued
2012
Date
2012
Author(s)
Chiang, Wan-Chen
Abstract
Both Real Estate Investment Trusts (REITs) and stocks of Construction industry have the nature of stocks and real estate. Following the “Real Estate Securitization Act,” REITs should distribute the 100% earnings to the investors, manage the properties by professional property managers and provide the detail information to the investors. Therefore, the rational investors of REITs should have less “disposition effect.”
This paper compares the differences of disposition effect of REITs and stocks of Construction industry. Investigating the disposition effect by using the disposition coefficient from Weber and Camerer(1998), we find that the disposition effect of REITs is less than the one of stocks of Construction industry, but the difference is not significant. Also, we divide the 2008-2011 samples by twelve months and investigate the disposition effect by the same way, discovering that there is no“self control effect”in the end of year (in December), “tax-loss selling hypothesis”(in April or May) and “Chinese New Year effect”( in January or February) in both REITs and stocks of Construction industry.
When Stock market is in a good situation and the respective shares'' last period performances are good, the investors sell the winners because of the expectation of mean reversion and the disposition effect is larger. Because the market values of REITs are similar, they don''t affect the investment behaviors of investors. And we find that the investors of small-size stocks of Construction industry have less disposition effect, because they have less confidence in those companies and the market is not active. From the results of regression, we find that the dividend is not the significant factor affects the investors'' investment behaviors.
Subjects
Real Estate Investment Trusts
Stocks of Construction Industry
Disposition Effect
Type
thesis
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