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

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  • Frömel, Pascal
  • Kolmeder, Severin
  • Wagner, Dominik

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.

Suggested Citation

  • Frömel, Pascal & Kolmeder, Severin & Wagner, Dominik, 2023. "Where prices are not lazy: Evidence from REITs and the financial sector," Finance Research Letters, Elsevier, vol. 53(C).
    • Handle: RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007772
    DOI: 10.1016/j.frl.2022.103601
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    More about this item

    Keywords

    Information processing; Market efficiency; REITs; Financial institutions;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General

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