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The Journal of Real Estate Finance and Economics

Erschienen in:

01.07.2009

Discovering REIT Price Discovery: A New Data Setting

verfasst von: Kevin C. H. Chiang

Erschienen in: The Journal of Real Estate Finance and Economics | Ausgabe 1/2009

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Abstract

This study decomposes real estate investment trust (REIT) returns into two components: (1) real returns, and (2) public returns. The real returns are based on the changes in the private, appraisal-based net asset values of REITs, whereas the public returns are measured by the variations in REITs’ premiums/discounts. This study then investigates the price discovery of REIT prices. The results indicate that lagged public returns are useful in predicting real returns. In addition, the study documents concurrent factor exposures for public returns and lagged factor exposures for private returns under a variety of asset pricing models. Overall, the results are consistent with the notion that public markets are more efficient in processing information.

Vorheriger Artikel Nonparametric Estimation of Households’ Duration of Residence from Panel Data

Nächster Artikel REIT IPOs and the Cost of Going Public

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Empirical designs based on this observation are abundant in the closed-end fund literature (Bodurtha et al. 1995).

R _NAV _{, 0} is set to be zero. We also experiment with assigning a random value from N(0,1) for R _{NAV, 0}. The results are qualitatively similar.

This study also experiments with a uniform distribution up to 3.0 for α. We do not find the results to be qualitatively different.

We would like to thank an anonymous referee for pointing this out to us.

With this normalization, REIT return = NAV return + premium return.

We would like to thank an anonymous referee for suggesting this analysis to us.

This analysis focuses on factor exposures, and this calls for a uniform treatment of subtracting one-month T-Bill rates from the returns on Green Street REITs, NAVs, and premiums. It is understood that because of this treatment on both NAVs and premiums, the alpha of REITs is not an aggregate of the alphas of NAVs and premiums. Consequently, the alpha of premiums should not be over-interpreted.

For a more concise reporting, one-period lagged factors are used for this analysis. This study also experiments with the use of two lags. The results are qualitatively similar.

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Titel: Discovering REIT Price Discovery: A New Data Setting
verfasst von: Kevin C. H. Chiang
Publikationsdatum: 01.07.2009
Verlag: Springer US
Erschienen in: The Journal of Real Estate Finance and Economics / Ausgabe 1/2009
Print ISSN: 0895-5638
Elektronische ISSN: 1573-045X
DOI: https://doi.org/10.1007/s11146-007-9098-7

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Nonparametric Estimation of Households’ Duration of Residence from Panel Data

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