Discovering REIT Price Discovery: A New Data Setting

Discovering REIT Price Discovery: A New Data Setting This study decomposes real estate investment trust (REIT) returns into two components: (1) real returns, and (2) public returns. The real returns are based on the changes in the private, appraisal-based net asset values of REITs, whereas the public returns are measured by the variations in REITs’ premiums/discounts. This study then investigates the price discovery of REIT prices. The results indicate that lagged public returns are useful in predicting real returns. In addition, the study documents concurrent factor exposures for public returns and lagged factor exposures for private returns under a variety of asset pricing models. Overall, the results are consistent with the notion that public markets are more efficient in processing information. The Journal of Real Estate Finance and Economics Springer Journals

Discovering REIT Price Discovery: A New Data Setting

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Springer US
Copyright © 2007 by Springer Science+Business Media, LLC
Economics; Regional/Spatial Science; Financial Services
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