REITs and market friction

REITs and market friction We examine differences in price delay for a sample of real estate investment trust (REIT) and non-REIT matched pairs. Results suggest an economically and statistically higher level of price delay for REIT securities, which implies heightened frictions that increase the time needed for new information to be impounded into the prices of REIT shares. The primary drivers for the observed delay differential include differences in idiosyncratic volatility, market risk, and the number of days traded. Within-REIT determinants of delay confirm findings for the pooled sample of matched pairs. Importantly, we infer find that REIT investors are not compensated for restricted information flow, as excess returns are unrelated to the price delay. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

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Publisher
Springer US
Copyright
Copyright © 2014 by Springer Science+Business Media New York
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1007/s11156-014-0459-z
Publisher site
See Article on Publisher Site

References

  • A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks
    Bessembinder, H; Kaufman, H
  • Market transparency, liquidity externalities, and institutional trading costs in corporate bonds
    Bessembinder, H; Maxwell, W; Venkataraman, K
  • Short interest and frictions in the flow of information
    Blau, B
  • Dividend policy and cash-flow uncertainty
    Bradley, M; Capozza, D; Seguin, P

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