We examine REIT short sale transactions and show REITs are shorted less frequently than non-REITs. Results also show short sellers are less able to predict negative future returns for REITs, relative to non-REITs, which is consistent with increased pricing efficiency for REITs and suggests REIT...

We examine the Hou and Moskowitz (2005) parsimonious measure of friction, which proxies investors' difficulty in incorporating market-wide information into security prices. Our comparison of REITs and matched non-REIT stocks shows a statistical and economically higher level of friction for REIT...

We examine REIT short sale transactions and show REITs are shorted less frequently than non-REITs. Results also show short sellers are less able to predict negative future returns for REITs, relative to non-REITs, which is consistent with increased pricing efficiency for REITs and suggests REIT...