Informational efficiency and GICS classification: Evidence from REITs

Shinhua Liu

The Quarterly Review of Economics and Finance, 2022, vol. 85, issue C, 355-362

Abstract: The historical promotion of the real estate industry in the Global Industry Classification Standard (GICS) system to a new headline sector should raise the informational efficiency of pricing for the asset class. We test this hypothesis for the first time using a large sample of publicly traded real estate investment trusts (REITs). Using two alternative statistical tests, we find that REIT returns become more random and less predictable following the event, suggesting better informational efficiency of REIT pricing. Furthermore, we find that the higher pricing efficiency is related to higher institutional ownership in the asset class in the same period. These findings should be of interest to academics and practitioners.

Keywords: GICS; Reclassification; Real estate; REIT; Informational efficiency; Asset pricing; Return predictability (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:85:y:2022:i:c:p:355-362

DOI: 10.1016/j.qref.2022.04.004

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