What is something shareholders hate to read? How about their CEO responding to the recent run-up in stock price with comments that send it crashing down?

Such an event is happening today at micro cap Arizona Land (AMEX:AZL). Arizona Land, an independent real estate investment trust (REIT), has been in liquidation for a number of years. The company recently sold two properties for $5.45 million and will pay a $1.10-per-share dividend (share price is currently around $7) on Jan. 17 -- the majority of which will be a return of capital (meaning there are no significant tax benefits attached to this payment).

A quick look at a one-year chart shows that the stock has moved sideways for almost the entire year, trading around $5 a share -- until mid-December, when it took off and at one point reached $9.05 a share in Monday's midday trading.

Here is what a company press release had to say: "While the company sold two properties for a total gain of more than $5,450,000 in 2004, it must be pointed out that these were the final sales of any substantial real estate properties owned by the company and such successes will not be repeated." Judging from the over-15% price drop today, investors took the "will not be repeated" to heart.

Still, the stock is trading well above its yearly average price, despite the fact that the company "...noticed the recent run-up in its share price and has no explanation for such run-up." If the company can't make sense of it, who can? We can only wonder what some investors were thinking.

Arizona Land is an excellent example of why investors should do careful due diligence before making any individual stock investment. The company is tiny -- really tiny -- with a market capitalization of a mere $13 million. While the stock looks cheap at 10 times earnings with a yield of 5.4%, it is slowly liquidating and is not actively positioning itself for growth. We all know micro caps can be volatile, but this is hardly the stock you would expect to shoot up like it did without any news, especially given a tame-as-can-be stock price year otherwise.

Readers looking for opportunities in growing companies with exposure to land may want to consider American Land Lease (NYSE:ANL), Sun Communities (NYSE:SUI), or even timber baron Plum Creek Timber (NYSE:PCL) -- or look at a more traditional REIT by trying American Financial Realty Trust (NYSE:AFR) out.

The Motley Fool is investors talking to investors. Join in the discussion of American Financial Realty Trust and Plum Creek Timber on the Motley Fool discussion boards.

Fool contributor W.D. Crotty does not own stock in any of the companies mentioned.