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

Alexey Akimov; Elaine Hutson; Simon Stevenson

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

机译：波动率，数量和偏度的相互作用：房地产投资信托基金的经验证据

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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.

机译：在本文中，我们考虑交易量如何影响房地产投资信托（REIT）回报的前三个时刻。与先前对更广泛的股票市场的研究一致，我们发现交易量对于收益率和波动率都是重要的因素。我们还发现，在REIT指数回报率的偏斜与数量显着相关的发现方面，Hong和Stein（2003）的投资者异质性理论支持了证据。

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《Journal of Real Estate Portfolio Management》 |2016年第1期|1-17|共17页
作者
Alexey Akimov; Elaine Hutson; Simon Stevenson;
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Lancaster University, Bailrigg, Lancaster, LA1 4YX, U.K.;

Monash University, Victoria 3800, Australia;

University of Reading, Whiteknights, Reading, RG6 6UD, U.K.;

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3. THE EMPIRICAL RELATIONSHIP BETWEEN STOCKS RETURNS, TRADING VOLUME AND VOLATILITY: EVIDENCE FROM STOCK [J] . Haroon Iqbal Tabassum Riaz Research Journal of Finance and Accounting . 2015,第13期

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7. The Interaction of Volatility, Volume and Skewness: Empirical Evidence from REITs [O] . Alexey Akimov, Elaine Hutson, Simon Stevenson 2016

机译：波动性，体积和偏差的相互作用：Reits的经验证据

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

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