REIT Stock Splits and Market Efficiency
An analysis of real estate investment trust (REIT) stock splits is presented. Evaluation of the initial reaction to split REITs supports efficient market pricing where REITs generate statistically significant positive announcement date returns, no statistically significant record date returns, and muted ex-date returns. In the long-term, split REITs do not consistently out perform benchmark portfolios over one-year, two-year, and three-year periods. REITs split subsequent to a substantial run up in stock price and to improve the position of their post split stock price relative to the stock price of the typical REIT. Copyright Springer Science + Business Media, Inc. 2005
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- Barber, Brad M. & Lyon, John D., 1997. "Detecting long-run abnormal stock returns: The empirical power and specification of test statistics," Journal of Financial Economics, Elsevier, vol. 43(3), pages 341-372, March.
- Grinblatt, Mark S. & Masulis, Ronald W. & Titman, Sheridan, 1984. "The valuation effects of stock splits and stock dividends," Journal of Financial Economics, Elsevier, vol. 13(4), pages 461-490, December.
- Lamoureux, Christopher G & Poon, Percy, 1987. " The Market Reaction to Stock Splits," Journal of Finance, American Finance Association, vol. 42(5), pages 1347-70, December.
- Edward F. Nelling & James M. Mahoney & Terry L. Hildebrand & Michael A. Goldstein, 1995. "Real Estate Investment Trusts, Small Stocks and Bid-ask Spreads," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 23(1), pages 45-63.
- Desai, Hemang & Jain, Prem C, 1997. "Long-Run Common Stock Returns following Stock Splits and Reverse Splits," The Journal of Business, University of Chicago Press, vol. 70(3), pages 409-33, July.
- Michael T. Maloney & J. Harold Mulherin, 1992. "The Effects of Splitting on the Ex: A Microstructure Reconciliation," Financial Management, Financial Management Association, vol. 21(4), Winter.
- Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
- Mitchell, Mark L & Stafford, Erik, 2000.
"Managerial Decisions and Long-Term Stock Price Performance,"
The Journal of Business,
University of Chicago Press, vol. 73(3), pages 287-329, July.
- Mark L. Mitchell & Erik Stafford, 1997. "Managerial Decisions and Long-Term Stock Price Performance," CRSP working papers 453, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Michael Bradley & Dennis R. Capozza & Paul J. Seguin, 1998. "Dividend Policy and Cash-Flow Uncertainty," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(4), pages 555-580.
- So, Raymond W & Tse, Yiuman, 2000. " Rationality of Stock Splits: The Target-Price Habit Hypothesis," Review of Quantitative Finance and Accounting, Springer, vol. 14(1), pages 67-84, January.
- Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
- Dennis R. Capozza & Paul J. Seguin, 2003. "Inside Ownership, Risk Sharing and Tobin's q-Ratios: Evidence from REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(3), pages 367-404, 09.
- Ko Wang & John Erickson & George W. Gau, 1993. "Dividend Policies and Dividend Announcement Effects for Real Estate Investment Trusts," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(2), pages 185-201.
When requesting a correction, please mention this item's handle: RePEc:kap:jrefec:v:30:y:2005:i:3:p:297-315. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn)or (Christopher F. Baum)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.