TAILIEUCHUNG - Is There a Disposition Effect in Corporate Investment Decisions? Evidence from Real Estate Investment Trusts ∗

In this issue, we present a number of interesting articles that hew closely to that theme. Our analysis has uncovered important information concerning commercial real estate investment vehicles and how they may be misused for criminal gain. Also, we have looked into burgeoning trends in debt relief scams that may affect your business and your customers. The SARs that have been filed concerning those activities, while they report local activity, have national import and serve to protect your business from losses and your customers from predation. . | Is There a Disposition Effect in Corporate Investment Decisions Evidence from Real Estate Investment Trusts Alan D. Crane and Jay C. Hartzelh McCombs School of Business The University of Texas at Austin April 1 2008 We would like to thank Andres Almazan Brent Ambrose Stu Gillan Steve Huddart Alok Kumar Steve LeBlanc Crocker Liu Laura Liu Chris Parsons Francisco Perez-Gonzalez Mark Roberts Lenore Sullivan Paul Tetlock Sheridan Titman Garry Twite and seminar participants from Australian National University Baylor University the University of California-Berkeley the University of Delaware the Hong Kong University of Science and Technology Symposium the University of Oklahoma Penn State University the University of Texas at Austin and Texas Tech University for their helpful comments. We would also like to thank the Real Estate Research Institute for funding the project. All remaining errors are our own. tCorresponding author. Department of Finance McCombs School of Business The University of Texas at Austin 1 University Station B6600 Austin TX 78712 email phone 512 471-6779 fax 512 471- 5073. Abstract While several studies have documented behavioral biases in the behavior of individual investors very little is known about the existence of such biases in corporations. We utilize the unique nature of Real Estate Investment Trusts REITs to test for the presence of one of the most widely discussed biases the disposition effect. Using property level REIT data we find strong statistical evidence that REITs tend to sell winners and hold losers where winners and losers are defined using changes in properties prices since they were acquired. In addition we find evidence that this behavior is consistent with the disposition effect. REITs are significantly less likely to sell properties that have a loss relative to a reference point based on inflation or historical average returns controlling for the properties recent returns. Our results also .

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