Determinants and information of REIT pricing

Jinliang Li

32 citations0/0 files storedApplied Economics Letters

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

Abstract

Utilizing advanced asset pricing techniques, we investigate the long-term relation between the general economy, the broad equity market and Real Estate Investment Trusts (REITs). Both monetary and real economy factors, along with the stock market factor, are found to be determinants in REIT pricing. On a quarterly basis, we provide evidence that the REIT market is efficient in terms of incorporating information from the economy and the stock market. Furthermore, we test and find that REITs provide significant forward-looking information regarding the economy.

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References

1985A Theory of the Term Structure of Interest Rates 1976The arbitrage theory of capital asset pricing 1973An Intertemporal Capital Asset Pricing Model 1986Economic Forces and the Stock Market 1991The Variation of Economic Risk Premiums 1991Investor Sentiment and the Closed-End Fund Puzzle 1990Risk and Return on Real Estate: Evidence from Equity REITs 2009The Information Content of the NCREIF Index

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2016Integration between the Asian REIT markets and macroeconomic variables

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