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What determines the mean reversion speed of NAV spreads?

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  • Alexander Schiller
  • René-Ojas Woltering
  • Christian Weis
  • Steffen Sebastian

Abstract

In this paper, we study the mean reversion behaviour of NAV spreads for a global sample of 219 listed real estate stocks. We find NAV spreads for companies trading at a high discount to mean revert fastest. Remarkably, we also provide evidence that online search attention impacts the mean reversion speed of NAV spreads: Stocks with lower levels of online search attention mean-revert significantly faster than those with higher levels. Our global research setting allows us to show that a country’s average NAV spread has an impact on the NAV spreads of individual stocks. Ultimately, we find that the NAV spread of companies receiving high levels of online search attention has a disproportionately high impact on the NAV spreads of other companies.

Suggested Citation

  • Alexander Schiller & René-Ojas Woltering & Christian Weis & Steffen Sebastian, 2022. "What determines the mean reversion speed of NAV spreads?," Journal of Property Research, Taylor & Francis Journals, vol. 39(4), pages 293-320, October.
    • Handle: RePEc:taf:jpropr:v:39:y:2022:i:4:p:293-320
    DOI: 10.1080/09599916.2022.2105251
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