We examine REIT behavior around extreme market-wide price occurrences. In general, we find that REITs that have higher levels of liquidity and that are larger in size tend to impound information more quickly and reverse more speedily after an extreme event. Also, we find that Equity REITs have...

The distributions of Real Estate Investment Trusts (REITs) are comprised of components that differ in how they are taxed to the recipient shareholders. This variation in tax characteristics enables us to study the effect of shareholder taxes on stock prices around ex-dividend days while avoiding...

For the last several years, the price of listed real estate stocks has been unusually high relative to dividends. We explore whether low interest rates or low risk premia can account for the high valuation ratios and find that they cannot. Lower interest rates have been offset by rising risk...

A recent literature has shown that REIT returns contain strong evidence of bull and bear dynamic regimes that may be best captured using nonlinear econometric models of the Markov switching type. In fact, REIT returns would display regime shifts that are more abrupt and persistent than in the...

Relations between Real Estate Investment Trust (REIT) efficiency and operational performance, risk, and stock return are examined. REIT-level operational efficiency is measured as the ratio of operational expenses to revenue, where a higher operational efficiency ratio (OER) indicates a less...

This study addresses the unsettled question of whether REITs behave similarly to stocks with respect to calendar anomalies. We determine the magnitudes of several types of calendar anomalies for both the REIT and stock market index returns in 22 countries between 1990 and 2012. In general, our...

This paper examines the impact of reclassifying equity Real Estate Investment Trust (REITs) in the S&P 500 by transferring them from the Financials sector to a new Global Industry Classification Standard sector named Real Estate in an event-study context. The creation of the new sector had a...

Optimism around Initial Public Offerings is well documented. However, Seasoned Equity Offerings are often surrounded by less optimism. Based on analyst forecast properties for a large number of REITs, we find that REIT analysts tend to be relatively optimistic after IPOs, whereas this tends not...

This report argues that traditional REIT spinoffs are fairly well supported by current law and that the common criticisms of these transactions generally miss the mark. It concludes that (1) Treasury and the IRS over time have adopted a fairly comprehensive definition of real property for REIT...