Article
REITs and Market Friction
Review of Quantitative Finance and Accounting
(2016)
Abstract
We examine differences in price delay for a sample of real estate investment trust (REIT) and non-REIT matched pairs. Results suggest an economically and statistically higher level of price delay for REIT securities, which implies heightened frictions that increase the time needed for new information to be impounded into the prices of REIT shares. The primary drivers for the observed delay differential include differences in idiosyncratic volatility, market risk, and the number of days traded. Within-REIT determinants of delay confirm findings for the pooled sample of matched pairs. Importantly, we infer find that REIT investors are not compensated for restricted information flow, as excess returns are unrelated to the price delay.
Keywords
- REIT,
- price delay,
- price efficiency
Disciplines
Publication Date
January, 2016
DOI
10.1007/s11156-014-0459-z
Citation Information
Benjamin Blau, Jared F. Egginton and Matthew Hill. "REITs and Market Friction" Review of Quantitative Finance and Accounting Vol. 46 Iss. 1 (2016) p. 1 - 24 Available at: http://works.bepress.com/jared-egginton/4/