Why do REIT prices change? The information content of Barron's "The Ground Floor"

Date

2001-01-01

Author

Downs, DH
Güner, Zehra Nuray
Hartzell, DJ
Torres, MA

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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

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This article examines the information content in a series of market commentaries covering the publicly traded real estate market. The data are constructed from REIT-specific announcements published in a widely disseminated source of market commentary. The empirical methodology is designed to test whether the unexpected price change and unexpected volume are significant on the announcement day. The results demonstrate that the market commentaries provide information that impacts prices and that investors use this information in their trading. Additional analysis suggests that prices change more in the period following the REIT boom than during an earlier period. This result seems somewhat puzzling given recent studies that report an increase in REIT market liquidity.

Subject Keywords

Information, Markets, Real estate

URI

https://hdl.handle.net/11511/39415

Journal

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS

DOI

https://doi.org/10.1023/a:1007879326773

Collections

Department of Business Administration, Article

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Citation Formats

D. Downs, Z. N. Güner, D. Hartzell, and M. Torres, “Why do REIT prices change? The information content of Barron’s “The Ground Floor”,” JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, pp. 63–80, 2001, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/39415.