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REITs and market friction

Author

Listed:
  • Benjamin Blau
  • Jared Egginton
  • Matthew Hill
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. Copyright Springer Science+Business Media New York 2016

Suggested Citation

  • Benjamin Blau & Jared Egginton & Matthew Hill, 2016. "REITs and market friction," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 1-24, January.
    • Handle: RePEc:kap:rqfnac:v:46:y:2016:i:1:p:1-24
    DOI: 10.1007/s11156-014-0459-z
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    References listed on IDEAS

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    More about this item

    Keywords

    REIT; Price delay; Price efficiency; G12; G19;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G19 - Financial Economics - - General Financial Markets - - - Other

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