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Real estate sentiment as information for REIT bond pricing

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  • Julia Freybote

Abstract

For corporate bond investors, credit ratings have been found to be informationally insufficient due to their limited timeliness and accuracy. This paper investigates the information content of forward-looking commercial real estate investor sentiment for pricing decisions of US REIT bond investors. Using an unbalanced panel data-set for the post-crisis period (2010--2013) and Prais--Winsten regression correcting for contemporaneous and serial correlation, sentiment is found to have a negative effect on REIT bond yields irrespective of S&P index inclusion or credit rating. The effect of sentiment, however, is larger for REITs that are not included in S&P indices than for S&P REITs. Explanations for this finding include institutional investor and REIT characteristics.

Suggested Citation

  • Julia Freybote, 2016. "Real estate sentiment as information for REIT bond pricing," Journal of Property Research, Taylor & Francis Journals, vol. 33(1), pages 18-36, March.
    • Handle: RePEc:taf:jpropr:v:33:y:2016:i:1:p:18-36
    DOI: 10.1080/09599916.2016.1146791
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    Cited by:

    1. Qiulin Ke & Karen Sieracki, 2018. "Exploring sentiment-driven trading behavior of different types of investors in London office market," ERES eres2018_112, European Real Estate Society (ERES).
    2. Steffen Heinig & Anupam Nanda & Sotiris Tsolacos, 2016. "Which Sentiment Indicators Matter? An Analysis of the European Commercial Real Estate Market," ICMA Centre Discussion Papers in Finance icma-dp2016-04, Henley Business School, University of Reading.

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