We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover, is an economically significant indicator of...

We survey the textual sentiment literature, comparing and contrasting the various information sources, content analysis methods, and empirical models that have been used to date. We summarize the important and influential findings about how textual sentiment impacts on individual, firm-level and...

This paper examines the relationship between the stock crash risk of REITs and different types of institutional investors. First, when we classify REIT institutional investors by their legal type, we find that the ownership of pension funds (bank trusts) is negatively (positively) related to...

We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that hit this industry between 2005 and 2006. Since this industry is comparably unregulated our data set permits us to contrast competing explanations of liquidity crisis. We find that...

The real estate market displays many of the behavioral biases documented in the traditional financial markets. During bull markets, investor overconfidence, optimism, representativeness, and self-attribution bias among others drive prices far above their fundamental values. Conversely, during...

The real estate investment trust (REIT) industry experienced a liquidity crisis resulting from reduced access to credit commitments as banks were restoring their balance sheets during the 2007-2009 financial crisis. Employing generalized autoregressive conditional heteroscedasticity (GARCH)...

Purpose – The paper aims to investigate the relationship between different investor attention proxies for different types of funds (retail vs institutional ones) looking at a sample of real estate funds.Design/Methodology/Approach – The authors collect data about searching frequency on...

The real estate investment trust (REIT) industry experienced a liquidity crisis resulting from reduced access to credit commitments as banks were restoring their balance sheets during the 2007-2009 financial crisis. Employing generalized autoregressive conditional heteroscedasticity (GARCH)...