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Is the Information Deficiency in Real Estate Evident in Public Market Trading?

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  • David H. Downs
  • Z. Nuray Güner

Abstract

This paper examines the summary informativeness of trading in real estate securities. Prior literature on publicly traded real estate securities suggests that the information deficiency associated with local economies and unique rent dynamics will manifest itself as severe information asymmetry. To date, most studies concerned with these issues have focused on the conventional measures of liquidity (serial correlations, bid—ask spreads, etc.). However, the conventional measures have several shortcomings as pure measures of trading information. To address this issue, we use a vector autoregressive methodology pioneered by Hasbrouck. We examine the empirical proposition that information‐gathering activities are related to trade informativeness. The evidence is consistent with a theoretical model in which traders are risk‐averse and the number of information gatherers is small.

Suggested Citation

  • David H. Downs & Z. Nuray Güner, 1999. "Is the Information Deficiency in Real Estate Evident in Public Market Trading?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(3), pages 517-541, September.
    • Handle: RePEc:bla:reesec:v:27:y:1999:i:3:p:517-541
    DOI: 10.1111/1540-6229.00782
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    Cited by:

    1. Jamie Alcock & John Glascock & Eva Steiner, 2013. "Manipulation in U.S. REIT Investment Performance Evaluation: Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 47(3), pages 434-465, October.
    2. Mark J. Garmaise & Tobias J. Moskowitz, 2002. "Confronting Information Asymmetries: Evidence from Real Estate Markets," NBER Working Papers 8877, National Bureau of Economic Research, Inc.
    3. Deqing Diane Li & Kenneth Yung, 2004. "Short Interests in Real Estate Investment Trusts," International Real Estate Review, Global Social Science Institute, vol. 7(1), pages 56-70.
    4. Frank Gyamfi-Yeboah & Alan Ziobrowski & Philip Seagraves, 2014. "Institutional Ownership and the Dynamics of Trading Volume around FFO Announcements," The Journal of Real Estate Finance and Economics, Springer, vol. 49(1), pages 73-90, July.
    5. Frank Gyamfi-Yeboah & Alan Ziobrowski & Lisa Lambert, 2012. "Reits’ Price Reaction to Unexpected FFO Announcements," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 622-644, October.
    6. Lingxiao Li & Bing Zhu, 2024. "REITs’ Stock Return Volatility: Property Market Risk Versus Equity Market Risk," The Journal of Real Estate Finance and Economics, Springer, vol. 69(3), pages 452-476, October.
    7. David Downs & Z. Güner, 2013. "Commercial Real Estate, Information Production and Market Activity," The Journal of Real Estate Finance and Economics, Springer, vol. 46(2), pages 282-298, February.
    8. Erik Devos & Seow Ong & Andrew Spieler, 2007. "Analyst Activity and Firm Value: Evidence from the REIT Sector," The Journal of Real Estate Finance and Economics, Springer, vol. 35(3), pages 333-356, October.
    9. Elizabeth Devos & Erik Devos & Seow Eng Ong & Andrew C. Spieler, 2019. "Information Asymmetry and REIT Capital Market Access," The Journal of Real Estate Finance and Economics, Springer, vol. 59(1), pages 90-110, July.
    10. Walter I. Boudry & Jarl G. Kallberg & Crocker H. Liu, 2010. "An Analysis of REIT Security Issuance Decisions," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(1), pages 91-120, March.
    11. Benjamin Blau & Jared Egginton & Matthew Hill, 2016. "REITs and market friction," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 1-24, January.
    12. Ming-Yu Liu & Chiuling Lu, 2020. "The Continuing Overreaction in the REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 61(1), pages 129-149, June.
    13. Elizabeth Devos & Erik Devos & Seow Eng Ong & Andrew C. Spieler, 2016. "Who Follows REITs?," Journal of Real Estate Research, American Real Estate Society, vol. 38(1), pages 129-164.
    14. Erik Devos & Thomas McInish & Michael McKenzie & James Upson, 2014. "Naked Short Selling and the Market Impact of Fails-to-Deliver: Evidence from the Trading of Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 49(4), pages 454-476, November.
    15. Benjamin Blau & Jared F. Egginton & Matthew Hill, 2016. "REITs and market friction," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 1-24, January.

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