Real Estate Investment Trusts and Stock Price Reversals

Real Estate Investment Trusts and Stock Price Reversals A trigger value of −5% is used to identify a sample of real estate trusts (REITS) that experience substantial one-day price declines. Abnormal returns are then calculated for the subsequent two-day period. The results of this study suggest stock price reversals are associated with extreme stock price declines for REITS. Hence, it appears the market overreacts at the time unfavorable information about REITS is disseminated. The degree of reversal across the sample is assessed according to variables such as the initial price decline (day 0), pre-event leakage (day −1), size (capitalization), the type of real estate investment trust, and relative trading volume. The Journal of Real Estate Finance and Economics Springer Journals

Real Estate Investment Trusts and Stock Price Reversals

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Kluwer Academic Publishers
Copyright © 2005 by Springer Science + Business Media, Inc.
Economics; Regional/Spatial Science; Financial Services
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