IDEAS home Printed from https://ideas.repec.org/a/kap/jrefec/v20y2000i2p195-210.html
   My bibliography  Save this article

The Changing Asymmetric Information Component of REIT Spreads: A Study of Anticipated Announcements

Author

Listed:
  • McDonald, Cynthia G
  • Nixon, Terry D
  • Slawson, V Carlos, Jr

Abstract

This study examines the risk-compensating behavior of REIT market makers. The bid-ask spread is hypothesized to compensate market makers for three costs: asymmetric information, order processing, and inventory. As the market maker's perceived likelihood of transacting with a better-informed individual increases (decreases), the percentage of the spread that is attributed to asymmetric information will increase (decrease). This study examines the asymmetric information component of the bid-ask spread immediately prior to and following REIT dividend announcements and REIT funds from operations announcements during 1995 and 1996. The asymmetric information component increases the day before and then declines subsequent to dividend announcements of small and equity REITs. Asymmetric information costs increase following funds from operations announcements. Copyright 2000 by Kluwer Academic Publishers

Suggested Citation

  • McDonald, Cynthia G & Nixon, Terry D & Slawson, V Carlos, Jr, 2000. "The Changing Asymmetric Information Component of REIT Spreads: A Study of Anticipated Announcements," The Journal of Real Estate Finance and Economics, Springer, vol. 20(2), pages 195-210, March.
    • Handle: RePEc:kap:jrefec:v:20:y:2000:i:2:p:195-210
    as

    Download full text from publisher

    File URL: http://journals.kluweronline.com/issn/0895-5638/contents
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hong Wang & Yining Sun & Yin Chen, 2009. "Special considerations for designing pilot REITs in China," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 27(2), pages 140-161, March.
    2. Paul Anglin & Robert Edelstein & Yanmin Gao & Desmond Tsang, 2011. "How Does Corporate Governance Affect the Quality of Investor Information? The Curious Case of REITs," Journal of Real Estate Research, American Real Estate Society, vol. 33(1), pages 1-24.
    3. Daniel Broxterman & Tingyu Zhou, 2023. "Information Frictions in Real Estate Markets: Recent Evidence and Issues," The Journal of Real Estate Finance and Economics, Springer, vol. 66(2), pages 203-298, February.
    4. Chinmoy Ghosh & Scott Roark & C. Sirmans, 2013. "On The Operating Performance of REITs Following Seasoned Equity Offerings: Anomaly Revisited," The Journal of Real Estate Finance and Economics, Springer, vol. 46(4), pages 633-663, May.
    5. Erasmo Giambona & Joseph Golec & Carmelo Giaccotto, 2006. "The Conditional Performance of REIT Stock Repurchases," The Journal of Real Estate Finance and Economics, Springer, vol. 32(2), pages 129-149, March.
    6. Martin Hoesli & Stanimira Milcheva & Alex Moss, 2020. "Is Financial Regulation Good or Bad for Real Estate Companies? – An Event Study," The Journal of Real Estate Finance and Economics, Springer, vol. 61(3), pages 369-407, October.
    7. Zhilan Feng & Chinmoy Ghosh & C. Sirmans, 2007. "CEO Involvement in Director Selection: Implications for REIT Dividend Policy," The Journal of Real Estate Finance and Economics, Springer, vol. 35(4), pages 385-410, November.
    8. SeungHan Ro & Paul Gallimore, 2014. "Real Estate Mutual Funds: Herding, Momentum Trading and Performance," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(1), pages 190-222, March.
    9. Zhilan Feng & Chinmoy Ghosh & C. Sirmans, 2007. "Director Compensation and CEO Bargaining Power in REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 35(3), pages 225-251, October.
    10. John L. Crain & Mike Cudd & Christopher L. Brown, 2000. "The Impact of the Revenue Reconciliation Act of 1993 on the Pricing Structure of Equity REITs," Journal of Real Estate Research, American Real Estate Society, vol. 19(3), pages 275-285.
    11. Zhilan Feng & Chinmoy Ghosh & Fan He & C. Sirmans, 2010. "Institutional Monitoring and REIT CEO Compensation," The Journal of Real Estate Finance and Economics, Springer, vol. 40(4), pages 446-479, May.
    12. Rakesh Kumar Sharma, 2021. "Factors influencing dividend decisions of Indian construction, housing and real estate companies: An empirical panel data analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5666-5683, October.
    13. Erik Devos & Thomas McInish & Michael McKenzie & James Upson, 2014. "Naked Short Selling and the Market Impact of Fails-to-Deliver: Evidence from the Trading of Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 49(4), pages 454-476, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:jrefec:v:20:y:2000:i:2:p:195-210. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.