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Real Estate Investment Trusts and Stock Price Reversals

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  • Stephen Larson

Abstract

A trigger value of −5% is used to identify a sample of real estate trusts (REITS) that experience substantial one-day price declines. Abnormal returns are then calculated for the subsequent two-day period. The results of this study suggest stock price reversals are associated with extreme stock price declines for REITS. Hence, it appears the market overreacts at the time unfavorable information about REITS is disseminated. The degree of reversal across the sample is assessed according to variables such as the initial price decline (day 0), pre-event leakage (day −1), size (capitalization), the type of real estate investment trust, and relative trading volume. Copyright Springer Science + Business Media, Inc. 2004

Suggested Citation

  • Stephen Larson, 2004. "Real Estate Investment Trusts and Stock Price Reversals," The Journal of Real Estate Finance and Economics, Springer, vol. 30(1), pages 81-88, October.
    • Handle: RePEc:kap:jrefec:v:30:y:2004:i:1:p:81-88
    DOI: 10.1007/s11146-004-4832-x
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    References listed on IDEAS

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    Cited by:

    1. Minye Zhang & Yongheng Deng, 2008. "REITs Return Behavior and Legal Infrastructure: The 1993 Revenue Reconciliation Act & Inspirations for China's Emerging REITS Market," Working Paper 8532, USC Lusk Center for Real Estate.

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