What determines the mean reversion speed of NAV spreads?

Alexander Schiller, René-Ojas Woltering, Christian Weis and Steffen Sebastian

Journal of Property Research, 2022, vol. 39, issue 4, 293-320

Abstract: In this paper, we study the mean reversion behaviour of NAV spreads for a global sample of 219 listed real estate stocks. We find NAV spreads for companies trading at a high discount to mean revert fastest. Remarkably, we also provide evidence that online search attention impacts the mean reversion speed of NAV spreads: Stocks with lower levels of online search attention mean-revert significantly faster than those with higher levels. Our global research setting allows us to show that a country’s average NAV spread has an impact on the NAV spreads of individual stocks. Ultimately, we find that the NAV spread of companies receiving high levels of online search attention has a disproportionately high impact on the NAV spreads of other companies.

Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/09599916.2022.2105251 (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:39:y:2022:i:4:p:293-320

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

DOI: 10.1080/09599916.2022.2105251

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 ().