REITs and Market Friction

Benjamin Blau; Jared F. Egginton; Matthew Hill

doi:10.1007/s11156-014-0459-z

REITs and Market Friction

Benjamin Blau, Jared F. Egginton, Matthew Hill

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

We examine differences in price delay for a sample of real estate investment trust (REIT) and non-REIT matched pairs. Results suggest an economically and statistically higher level of price delay for REIT securities, which implies heightened frictions that increase the time needed for new information to be impounded into the prices of REIT shares. The primary drivers for the observed delay differential include differences in idiosyncratic volatility, market risk, and the number of days traded. Within-REIT determinants of delay confirm findings for the pooled sample of matched pairs. Importantly, we infer find that REIT investors are not compensated for restricted information flow, as excess returns are unrelated to the price delay.

Original language	American English
Journal	Review of Quantitative Finance and Accounting
Volume	46
Issue number	1
DOIs	https://doi.org/10.1007/s11156-014-0459-z
State	Published - Jan 2016
Externally published	Yes

Keywords

REIT
price delay
price efficiency

EGS Disciplines

Finance and Financial Management

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10.1007/s11156-014-0459-zLicense: Unspecified

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title = "REITs and Market Friction",

abstract = " We examine differences in price delay for a sample of real estate investment trust (REIT) and non-REIT matched pairs. Results suggest an economically and statistically higher level of price delay for REIT securities, which implies heightened frictions that increase the time needed for new information to be impounded into the prices of REIT shares. The primary drivers for the observed delay differential include differences in idiosyncratic volatility, market risk, and the number of days traded. Within-REIT determinants of delay confirm findings for the pooled sample of matched pairs. Importantly, we infer find that REIT investors are not compensated for restricted information flow, as excess returns are unrelated to the price delay. ",

keywords = "REIT, price delay, price efficiency",

author = "Benjamin Blau and Egginton, {Jared F.} and Matthew Hill",

note = "We examine differences in price delay for a sample of real estate investment trust (REIT) and non-REIT matched pairs. Results suggest an economically and statistically higher level of price delay for REIT securities, which implies heightened frictions that increase the time needed for new information to be impounded into the prices of REIT shares.",

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AU - Egginton, Jared F.

AU - Hill, Matthew

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N2 - We examine differences in price delay for a sample of real estate investment trust (REIT) and non-REIT matched pairs. Results suggest an economically and statistically higher level of price delay for REIT securities, which implies heightened frictions that increase the time needed for new information to be impounded into the prices of REIT shares. The primary drivers for the observed delay differential include differences in idiosyncratic volatility, market risk, and the number of days traded. Within-REIT determinants of delay confirm findings for the pooled sample of matched pairs. Importantly, we infer find that REIT investors are not compensated for restricted information flow, as excess returns are unrelated to the price delay.

AB - We examine differences in price delay for a sample of real estate investment trust (REIT) and non-REIT matched pairs. Results suggest an economically and statistically higher level of price delay for REIT securities, which implies heightened frictions that increase the time needed for new information to be impounded into the prices of REIT shares. The primary drivers for the observed delay differential include differences in idiosyncratic volatility, market risk, and the number of days traded. Within-REIT determinants of delay confirm findings for the pooled sample of matched pairs. Importantly, we infer find that REIT investors are not compensated for restricted information flow, as excess returns are unrelated to the price delay.

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KW - price efficiency

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JO - Review of Quantitative Finance and Accounting

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IS - 1

ER -

REITs and Market Friction

Abstract

Keywords

EGS Disciplines

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