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Why Do REIT Prices Change? The Information Content of Barron's “The Ground Floor” |
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| Authors: | Downs David H. Güner Z. Nuray hartzell David J. Torres Michael A. |
| Affiliation: | (1) Terry College of Business, University of Georgia, Athens, GA 30602-6255, USA;(2) Department of Management, Middle East Technical University, Ankara, Turkey;(3) Kenan-Flagler Business School, University of North Carolina, Chapel Hill, NC, USA;(4) Lend Lease Rosen Real Estate Securities, LLC, Berkeley, CA, USA |
| Abstract: | 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. |
| Keywords: | information markets real estate |
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