Option Trading And Reit Returns

Authors

George D. Cashman, College of Business AdministrationFollow
David M. Harrison, University of Central FloridaFollow
Hainan Sheng, University of Northern IowaFollow

Document Type

Article

Journal/Book/Conference Title

Real Estate Economics

Volume

49

Issue

1

First Page

332

Last Page

389

Abstract

This article examines the relation between option trading volume and real estate investment trust (REIT) market performance. Specifically, we find that option volume increases are followed by decreases in returns. Furthermore, the portion of option volume that is orthogonal to REIT characteristics drives the observed return predictability relation, thereby suggesting that the return predictability of option trading is (at least partially) attributable to information-based explanations. Finally, consistent with informed traders favoring option market activities due to short-sale costs and/or constraints, we find option based return predictability is more evident within REITs than non-REITs, even though firms within this industry are generally viewed as informationally transparent.

Original Publication Date

3-1-2021

DOI of published version

10.1016/j.hnm.2020.200123

Repository

UNI ScholarWorks, Rod Library, University of Northern Iowa

Language

en

Recommended Citation

Cashman, George D.; Harrison, David M.; and Sheng, Hainan, "Option Trading And Reit Returns" (2021). Faculty Publications. 110.
https://scholarworks.uni.edu/facpub/110