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Article: Asset productivity, local information diffusion, and commercial real estate returns

TitleAsset productivity, local information diffusion, and commercial real estate returns
Authors
KeywordsREITs
local information diffusion
return predictability
commercial real estate returns
Issue Date2021
Citation
Real Estate Economics, 2021 How to Cite?
AbstractAn extensive literature finds that indices of returns on equity real estate investment trusts (REITs) predict return indices in the private commercial real estate (CRE) market. Using a novel geographically weighted proxy for the quarterly performance of the property types within the local markets in which an REIT is invested, or property portfolio return (PPR), we find a “private predicts public” result in a cross-sectional, firm-level context. This finding suggests that geographically dispersed information and investors’ limited attention can delay timely stock price adjustments. Our findings also suggest that it is the diffusion of information about “local” price changes, rather than local supply elasticities, regulatory constraints, the degree of local information risk, current rental income, or local liquidity that predicts REIT returns. The PPRs associated with REIT allocations to major “gateway” markets are more predictive of REIT returns than the PPRs produced by allocations to secondary and tertiary markets. This study improves our understanding of the speed at which “local” information about the perceived productivity of a firm's assets is capitalized into stock prices.
Persistent Identifierhttp://hdl.handle.net/10722/301869
ISSN
2020 Impact Factor: 3.418
2020 SCImago Journal Rankings: 1.064

 

DC FieldValueLanguage
dc.contributor.authorLing, David C.-
dc.contributor.authorWang, Chongyu-
dc.contributor.authorZhou, Tingyu-
dc.date.accessioned2021-08-19T02:20:54Z-
dc.date.available2021-08-19T02:20:54Z-
dc.date.issued2021-
dc.identifier.citationReal Estate Economics, 2021-
dc.identifier.issn1080-8620-
dc.identifier.urihttp://hdl.handle.net/10722/301869-
dc.description.abstractAn extensive literature finds that indices of returns on equity real estate investment trusts (REITs) predict return indices in the private commercial real estate (CRE) market. Using a novel geographically weighted proxy for the quarterly performance of the property types within the local markets in which an REIT is invested, or property portfolio return (PPR), we find a “private predicts public” result in a cross-sectional, firm-level context. This finding suggests that geographically dispersed information and investors’ limited attention can delay timely stock price adjustments. Our findings also suggest that it is the diffusion of information about “local” price changes, rather than local supply elasticities, regulatory constraints, the degree of local information risk, current rental income, or local liquidity that predicts REIT returns. The PPRs associated with REIT allocations to major “gateway” markets are more predictive of REIT returns than the PPRs produced by allocations to secondary and tertiary markets. This study improves our understanding of the speed at which “local” information about the perceived productivity of a firm's assets is capitalized into stock prices.-
dc.languageeng-
dc.relation.ispartofReal Estate Economics-
dc.subjectREITs-
dc.subjectlocal information diffusion-
dc.subjectreturn predictability-
dc.subjectcommercial real estate returns-
dc.titleAsset productivity, local information diffusion, and commercial real estate returns-
dc.typeArticle-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1111/1540-6229.12354-
dc.identifier.scopuseid_2-s2.0-85107450583-
dc.identifier.eissn1540-6229-

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