IDEAS home Printed from https://ideas.repec.org/a/bla/reesec/v46y2018i1p251-283.html
   My bibliography  Save this article

The Dynamics of REIT Pricing Efficiency

Author

Listed:
  • Mike Aguilar
  • Walter I. Boudry
  • Robert A. Connolly

Abstract

We study the dynamics of pricing efficiency in the equity REIT market from 1993 to 2014. We measure pricing efficiency at the firm level using variance ratios calculated from quote midpoints in the TAQ database. We find four main results. First, on average, the market is efficient, with variance ratios close to one. However, in any given year, there is considerable cross†sectional variation in variance ratios, suggesting at least some firms are priced inefficiently. Second, higher institutional ownership by active institutional investors is related to better pricing efficiency, while passive ownership does not reduce pricing efficiency. Third, REITs that are included in the S&P 500 and S&P 400 are priced more efficiently than other REITs. For the S&P 500 firms, we find evidence that this was purely driven by sample selection, while for S&P 400 firms, we find evidence that it is inclusion in the index that drives efficiency. Finally, we find evidence that firm investment, analyst coverage and debt capital raising activity can influence pricing efficiency.

Suggested Citation

  • Mike Aguilar & Walter I. Boudry & Robert A. Connolly, 2018. "The Dynamics of REIT Pricing Efficiency," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 46(1), pages 251-283, March.
    • Handle: RePEc:bla:reesec:v:46:y:2018:i:1:p:251-283
    DOI: 10.1111/1540-6229.12210
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1540-6229.12210
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1540-6229.12210?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

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


    Cited by:

    1. Ying Zhang & J. Andrew Hansz, 2022. "Industry Concentration and U.S. REIT Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(1), pages 247-267, March.
    2. Wikrom Prombutr & Chanwit Phengpis & Ying Zhang, 2023. "Anomalies in U.S. REIT Returns: Evidence for and against the Q-theory," International Real Estate Review, Global Social Science Institute, vol. 26(1), pages 43-71.
    3. David C. Ling & Chongyu Wang & Tingyu Zhou, 2021. "Institutional common ownership and firm value: Evidence from real estate investment trusts," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(1), pages 187-223, March.
    4. Zifeng Feng & William G. Hardin & Zhonghua Wu, 2022. "Employee productivity and REIT performance," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(1), pages 59-88, March.
    5. George D. Cashman & David M. Harrison & Hainan Sheng, 2021. "Option Trading and REIT Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(1), pages 332-389, March.
    6. Ming-Yu Liu & Chiuling Lu, 2020. "The Continuing Overreaction in the REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 61(1), pages 129-149, June.
    7. Geoffrey M. Ngene & Catherine Anitha Manohar & Ivan F. Julio, 2020. "Overreaction in the REITs Market: New Evidence from Quantile Autoregression Approach," JRFM, MDPI, vol. 13(11), pages 1-28, November.
    8. Elyasiani, Elyas & Rytchkov, Oleg & Stetsyuk, Ivan, 2022. "Do real estate mutual fund managers create value?," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 396-406.

    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:bla:reesec:v:46:y:2018:i:1:p:251-283. 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: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/areueea.html .

    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.