REIT Pricing Efficiency; Should Investors Still Be Concerned?
This study examines the impact of the REIT boom on the market microstructure of REIT common stocks. We analyze NYSE-traded REITs during the pre-boom period (1992) and the post-boom period (1994), and find significant reductions in bid/ask spreads over the period. We also find that the bid/ask spread differential between REITs and non-REITs has been roughly halved between 1991 and 1994. These reductions provide a direct benefit to REIT investors in terms of reduction in transaction costs and improved liquidity, and suggest that the level of uncertainty on the part of the REIT specialist has been reduced.
Volume (Year): 12 (1996)
Issue (Month): 3 ()
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- Wood, Robert A & McInish, Thomas H & Ord, J Keith, 1985. " An Investigation of Transactions Data for NYSE Stocks," Journal of Finance, American Finance Association, vol. 40(3), pages 723-39, July.
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"Risk and Return on Real Estate: Evidence from Equity REITs,"
Real Estate Economics,
American Real Estate and Urban Economics Association, vol. 18(4), pages 431-452.
- K.C. Chan & Patric H. Hendershott & Anthony B. Sanders, 1990. "Risk and Return on Real Estate: Evidence from Equity REITs," NBER Working Papers 3311, National Bureau of Economic Research, Inc.
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- Wang, Ko & Chan, Su Han & Gau, George W., 1992. "Initial public offerings of equity securities *1: Anomalous evidence using REITs," Journal of Financial Economics, Elsevier, vol. 31(3), pages 381-410, June.
- McInish, Thomas H & Wood, Robert A, 1992. " An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks," Journal of Finance, American Finance Association, vol. 47(2), pages 753-64, June.
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