波动率、成交量和偏度的相互作用:来自REITs的经验证据

SPGMI: SNL Financial Data (Topic) Pub Date : 2016-06-01 DOI:10.1080/10835547.2016.12089976

Alexey Akimov, E. Hutson, S. Stevenson

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引用次数: 2

摘要

在本文中，我们考虑交易量如何影响房地产投资信托基金(REIT)的前三个时刻的回报。与之前对更广泛的股票市场的研究一致，我们发现，就回报率和波动性而言，成交量都是一个重要因素。我们还发现支持Hong和Stein(2003)投资者异质性理论的证据，即房地产投资信托基金指数回报的偏度与数量显著相关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Interaction of Volatility, Volume and Skewness: Empirical Evidence from REITs

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.

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SPGMI: SNL Financial Data (Topic)

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