Where prices are not lazy: Evidence from REITs and the financial sector

Pascal Frömel, Severin Kolmeder and Dominik Wagner

Finance Research Letters, 2023, vol. 53, issue C

Abstract: This study investigates information processing and return predictability from reporting textual uniqueness. Latest research describes a positive link between changes in financial reports and future returns for corporates in general. In this context, we exploit the unique homogeneity of U.S. Real Estate Investment Trusts (REITs) and find no significant impact of textual uniqueness on future returns, suggesting efficient processing of financial information in this environment. The effect of reporting textual uniqueness for firms from the financial sector is, albeit small, apparent. We argue that the documented strong effects cannot be readily generalized and may be dependent on the observed industry.

Keywords: Information processing; Market efficiency; REITs; Financial institutions (search for similar items in EconPapers)
JEL-codes: G14 G20 R30 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007772

DOI: 10.1016/j.frl.2022.103601

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