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Contagion and REIT Stock Prices

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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.

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File URL: http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/past/vol16n03/v16p389.pdf
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Bibliographic Info

Article provided by American Real Estate Society in its journal Journal of Real Estate Research.

Volume (Year): 16 (1998)
Issue (Month): 3 ()
Pages: 389-400

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Handle: RePEc:jre:issued:v:16:n:3:1998:p:389-400

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Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
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Web page: http://www.aresnet.org/

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Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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Web: http://aux.zicklin.baruch.cuny.edu/jrer/about/get.htm

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  1. Rebel A. Cole & Joseph A. McKenzie, 1994. "Thrift Asset-Class Returns and the Efficient Diversification of Thrift Institution Portfolios," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 22(1), pages 95-116.
  2. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  3. Cornell, Bradford & Shapiro, Alan C., 1986. "The reaction of bank stock prices to the international debt crisis," Journal of Banking & Finance, Elsevier, vol. 10(1), pages 55-73, March.
  4. Fenn, George W. & Cole, Rebel A., 1994. "Announcements of asset-quality problems and contagion effects in the life insurance industry," Journal of Financial Economics, Elsevier, vol. 35(2), pages 181-198, April.
  5. Chinmoy Ghosh & Randall S. Guttery & C.F. Sirmans, 1997. "The Effects of the Real Estate Crisis on Institutional Stock Prices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(4), pages 591-614.
  6. Joe Peek & Eric S. Rosengren, 1994. "Bank Real Estate Lending and the New England Capital Crunch," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 22(1), pages 33-58.
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Cited by:
  1. Pim Klamer & Cees Gorter & Peter Nijkamp, 2001. "Retail Investments by Real Estate Investment Trusts," Tinbergen Institute Discussion Papers 01-049/3, Tinbergen Institute.

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