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- W2227648959 abstract "This paper investigates the relationship between financial news content (optimistic/pessimistic), REIT returns, and trading volume. We apply textual analysis and find that high media pessimism predicts downward pressure on REIT returns. Negative words in the financial press are significantly negatively related to REIT returns. We also show that high media optimism predicts higher REIT trading volume. In addition, we find a significant unidirectional Granger causality from both optimism and pessimism to REIT returns and volume. Results using Johansen cointegration suggest that there is a long run relationship between media content and both REIT return and volume. Using EGARCH and TGARCH, we document significant asymmetry (leverage effects) in REIT returns. Interestingly, this indicates that negative shocks (bad news) have a greater impact than positive shocks (good news)." @default.
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- W2227648959 date "2012-08-03" @default.
- W2227648959 modified "2023-09-23" @default.
- W2227648959 title "Media Content, Infectious Transmission, and REIT Returns" @default.
- W2227648959 hasPublicationYear "2012" @default.
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