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Why Do REIT Prices Change? The Information Content of Barron's "The Ground Floor."

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  • Downs, David H.
  • Güner, Nuray Z.
  • Hartzell, David J.
  • Torres, Michael A.

Abstract

This article examines the information content in a series of market commentaries covering the publicly traded real estate market. The data are constructed from REIT-specific announcements published in a widely disseminated source of market commentary. The empirical methodology is designed to test whether the unexpected price change and unexpected volume are significant on the announcement day. The results demonstrate that the market commentaries provide information that impacts prices and that investors use this information in their trading. Additional analysis suggests that prices change more in the period following the REIT boom than during an earlier period. This result seems somewhat puzzling given recent studies that report an increase in REIT market liquidity. Copyright 2001 by Kluwer Academic Publishers

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  • Downs, David H. & Güner, Nuray Z. & Hartzell, David J. & Torres, Michael A., 2001. "Why Do REIT Prices Change? The Information Content of Barron's "The Ground Floor."," The Journal of Real Estate Finance and Economics, Springer, vol. 22(1), pages 63-80, January.
    • Handle: RePEc:kap:jrefec:v:22:y:2001:i:1:p:63-80
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    Cited by:

    1. Pawan Jain & Spenser J. Robinson & Arjun J. Singh & Mark Sunderman, 2017. "Hospitality REITs and financial crisis: a comprehensive assessment of market quality," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 35(3), pages 277-289, April.
    2. Arjun Chatrath & Rohan A. Christie-David & Sanjay Ramchander, 2012. "Public Information, REIT Responses, Size, Leverage, and Focus," Journal of Real Estate Research, American Real Estate Society, vol. 34(4), pages 463-514.

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