Journal Title
Title of Journal: Rev Quant Finan Acc
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Abbravation: Review of Quantitative Finance and Accounting
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Authors: Benjamin Blau Jared F Egginton Matthew Hill
Publish Date: 2014/05/25
Volume: 46, Issue: 1, Pages: 1-24
Abstract
We examine differences in price delay for a sample of real estate investment trust REIT and nonREIT matched pairs Results suggest an economically and statistically higher level of price delay for REIT securities which implies heightened frictions that increase the time needed for new information to be impounded into the prices of REIT shares The primary drivers for the observed delay differential include differences in idiosyncratic volatility market risk and the number of days traded WithinREIT determinants of delay confirm findings for the pooled sample of matched pairs Importantly we infer find that REIT investors are not compensated for restricted information flow as excess returns are unrelated to the price delay
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