Abstract
This study examines the comovement of equity real estateinvestment trust (REIT) prices in both the vintage (1980–1991)and the new (1992–2004) REIT eras. The results indicate thatthe comovement of equity REIT prices within the same propertytype has strengthened during the new REIT era. The resultsalso indicate that, all else being equal, a high institutionalparticipation, a low insider ownership, and a large marketcapitalization are associated with a high within-property-typeprice synchronicity. The evidence is consistent with two notions:(1) that increasing participation by institutional investors in thenew REIT era facilitates the pricing of property-type commoninformation on firm-level prices, and (2) that REITs' informationopenness to institutional investing plays a role in thisstrengthened pricing relationship.
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