Overreaction and Underreaction to REIT Dividend Announcements and the Role of Monetary Policy

Marc Simpson, John Emery and Jose Moreno

Journal of Real Estate Portfolio Management, 2009, vol. 15, issue 3, 289-298

Abstract: Executive Summary. This paper examines the reactions of investors in Real Estate Investment Trusts (REITs) to 11,650 REIT dividend announcements that occurred between January 1, 1970 and March 31, 2007. Depending on the situation, there is evidence consistent with the overreaction hypothesis, the uncertain information hypothesis, overoptimism, and with market efficiency. The market reaction to a given dividend announcement by a REIT depends not only on the direction of change in the dividend, but also on the prevailing monetary environment in which the announcement is made, and on whether the announcement is seen as good news, or whether the market views the announcement as concomitant with bad news.

Date: 2009
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DOI: 10.1080/10835547.2009.12089851

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