Property Type, Size and REIT Value

Dennis R. Capozza · Sohan Korean

98 citations0/0 files storedJournal of Real Estate Research

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Financial Markets and Investment Strategies Housing Market and Economics Financial Analysis and Corporate Governance

Abstract

This study documents the wide deviation of securitized real estate assets in equity REITs from the value of the underlying commercial properties. A procedure for estimating the net asset value of REITs is developed and the estimates are used to investigate the sources of premiums/discounts from net asset value in a large sample of equity REITs. To avoid measurement error bias, two-way analysis of variance is used to test for differences among size and property-type categories. The results indicate that retail REITs trade at significant premiums relative to the average REIT while warehouse/industrial REITs trade at discounts and small REITs trade at significant discounts while large REITs trade at premiums. The discounts and premiums from net asset value do not translate into higher cash flow yields.

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References

1981The relationship between return and market value of common stocks 1983Size-related anomalies and stock return seasonality 1981Misspecification of capital asset pricing 1983The anomalous stock market behavior of small firms in January 1983Transaction costs and the small firm effect 1981A Possible Explanation of the Small Firm Effect 1983Transaction costs and the small firm effect 1993Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison

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