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Is the information deficiency in real estate evident in public market trading?
Date
1999-09-01
Author
Downs, DH
Güner, Zehra Nuray
Metadata
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Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
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This paper examines the summary informativeness of trading in real estate securities. Prior literature on publicly traded real estate securities suggests that the information deficiency associated with local economies and unique rent dynamics will manifest itself as severe information asymmetry. To date, most studies concerned with these issues have focused on the conventional measures of liquidity (serial correlations, bid-ask spreads, etc.). However, the conventional measures have several shortcomings as pure measures of trading information. To address this issue, we use a vector autoregressive methodology pioneered by Hasbrouck. We examine the empirical proposition that information-gathering activities are related to trade informativeness. The evidence is consistent with a theoretical model in which traders are risk-averse and the number of information gatherers is small.
Subject Keywords
Economics and econometrics
,
Accounting
,
Finance
URI
https://hdl.handle.net/11511/34733
Journal
REAL ESTATE ECONOMICS
DOI
https://doi.org/10.1111/1540-6229.00782
Collections
Department of Business Administration, Article
Citation Formats
IEEE
ACM
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MLA
BibTeX
D. Downs and Z. N. Güner, “Is the information deficiency in real estate evident in public market trading?,”
REAL ESTATE ECONOMICS
, vol. 27, no. 3, pp. 517–541, 1999, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/34733.