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Contagion and REIT Stock Prices

Chinmoy Ghosh, Randall S. Guttery () and C. F. Sirmans ()
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Randall S. Guttery: College of Business Administration University of North Texas Denton, Texas 76203-5339,
C. F. Sirmans: School of Business Administration The University of Connecticut Storrs, Connecticut 06269-2041,

Journal of Real Estate Research, 1998, vol. 16, issue 3, 389-400

Abstract: This article investigates the contagious movement of real estate investment trust (REIT) stock prices in response to real estate news related to financial institutions' real estate portfolios. The basic hypothesis is that because real estate assets are traded infrequently, the market has incomplete information about their true value; thus, REIT stock prices react negatively to announcements of poorly performing real estate portfolios of financial institutions. Consistent with the hypothesis, significantly negative reactions to these announcements are found for a portfolio of sixty-nine REITs during the real estate crisis of 1989--91.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1998
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