REITs and market friction

Benjamin Blau (), Jared Egginton () and Matthew Hill ()

Review of Quantitative Finance and Accounting, 2016, vol. 46, issue 1, 24 pages

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. Copyright Springer Science+Business Media New York 2016

Keywords: REIT; Price delay; Price efficiency; G12; G19 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s11156-014-0459-z

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