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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
Metadata
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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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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.