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The Information Content of REIT Credit Rating Actions and Transparency

Author

Listed:
  • Alan Tidwell

    () (Columbus State University)

  • Alan Ziobrowski

    () (Georgia State University)

  • Paul Gallimore

    () (University of Reading)

  • SeungHan Ro

    () (Konkuk University)

Abstract

We examine the short-run and long-run price reaction of equity real estate investment trust (REIT) shares following credit rating actions, testing the transparency of the REIT structure. Generally, the economic effect on the stock price is subdued for both upgrades and downgrades compared to prior literature examining the broader U.S. equity market. An examination of trading volume revealed a significant increase in trading in reaction to downgrade credit rating changes, with a more subdued response to upgrades. The findings support the notion that REITs are more publicly forthcoming about the expectation of positive news in comparison to negative news.

Suggested Citation

  • Alan Tidwell & Alan Ziobrowski & Paul Gallimore & SeungHan Ro, 2013. "The Information Content of REIT Credit Rating Actions and Transparency," Journal of Real Estate Research, American Real Estate Society, vol. 35(3), pages 365-392.
  • Handle: RePEc:jre:issued:v:35:n:3:2013:p:365-392
    as

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    References listed on IDEAS

    as
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    4. Fayez A. Elayan & Brian A. Maris, 1991. "Stock Market Response to Voluntary Liquidations and Reorganizations of Real Estate Corporations," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 19(1), pages 92-101.
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    8. Lee, Charles M C & Shleifer, Andrei & Thaler, Richard H, 1990. "Closed-End Mutual Funds," Journal of Economic Perspectives, American Economic Association, vol. 4(4), pages 153-164, Fall.
    9. McIntosh, Willard & Ott, Steven H & Liang, Youguo, 1995. "The Wealth Effects of Real Estate Transactions: The Case of REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 10(3), pages 299-307, May.
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    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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