Real estate sentiment as information for REIT bond pricing

Julia Freybote

Journal of Property Research, 2016, vol. 33, issue 1, 18-36

Abstract: For corporate bond investors, credit ratings have been found to be informationally insufficient due to their limited timeliness and accuracy. This paper investigates the information content of forward-looking commercial real estate investor sentiment for pricing decisions of US REIT bond investors. Using an unbalanced panel data-set for the post-crisis period (2010--2013) and Prais--Winsten regression correcting for contemporaneous and serial correlation, sentiment is found to have a negative effect on REIT bond yields irrespective of S&P index inclusion or credit rating. The effect of sentiment, however, is larger for REITs that are not included in S&P indices than for S&P REITs. Explanations for this finding include institutional investor and REIT characteristics.

Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1080/09599916.2016.1146791 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:jpropr:v:33:y:2016:i:1:p:18-36

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RJPR20

DOI: 10.1080/09599916.2016.1146791

Access Statistics for this article

Journal of Property Research is currently edited by Bryan MacGregor

More articles in Journal of Property Research from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().