Discovering REIT Price Discovery: A New Data Setting
This study decomposes real estate investment trust (REIT) returns into two components: (1) real returns, and (2) public returns. The real returns are based on the changes in the private, appraisal-based net asset values of REITs, whereas the public returns are measured by the variations in REITs’ pr...
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| Veröffentlicht in: | The journal of real estate finance and economics 2009-07, Vol.39 (1), p.74-91 |
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| container_title | The journal of real estate finance and economics |
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| creator | Chiang, Kevin C. H. |
| description | This study decomposes real estate investment trust (REIT) returns into two components: (1) real returns, and (2) public returns. The real returns are based on the changes in the private, appraisal-based net asset values of REITs, whereas the public returns are measured by the variations in REITs’ premiums/discounts. This study then investigates the price discovery of REIT prices. The results indicate that lagged public returns are useful in predicting real returns. In addition, the study documents concurrent factor exposures for public returns and lagged factor exposures for private returns under a variety of asset pricing models. Overall, the results are consistent with the notion that public markets are more efficient in processing information. |
| doi_str_mv | 10.1007/s11146-007-9098-7 |
| format | Article |
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| source | Springer Nature - Complete Springer Journals; EBSCOhost Business Source Complete |
| subjects | Advisors Appraisals Data analysis Discounts Economic theory Economics Economics and Finance Estimates Financial Services Information processing Investment trusts Prices Public sector Real estate Regional/Spatial Science REITs Return on investment Stock prices Studies Supply & demand |
| title | Discovering REIT Price Discovery: A New Data Setting |
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