Abstract

http://ssrn.com/abstract=1030895
 
 

References (46)



 
 

Citations (4)



 


 



Predictability in Equilibrium: The Price Dynamics of Real Estate Investment Trusts


Dennis R. Capozza


University of Michigan, Stephen M. Ross School of Business

Ryan D. Israelsen


Indiana University - Kelley School of Business - Department of Finance


Real Estate Economics, Vol. 35, No. 4, pp. 541-567, Winter 2007

Abstract:     
This research hypothesizes that, in markets where information costs, transaction costs and the economic impact of information can vary widely, we should expect predictability to vary systematically. We test this hypothesis with data on equity real estate investment trusts (REITs) from 1985 to 1992. We document that levels of predictability vary with firm characteristics like leverage, size and focus. Momentum is stronger for larger, more levered REITs. Reversion is faster for focused, levered REITs. The results are consistent with the hypothesis that, in equilibrium, securities, where information is either less costly to acquire or has less impact on fundamental value, should exhibit less predictability.

Number of Pages in PDF File: 27

Accepted Paper Series


Date posted: November 18, 2007  

Suggested Citation

Capozza, Dennis R. and Israelsen, Ryan D., Predictability in Equilibrium: The Price Dynamics of Real Estate Investment Trusts. Real Estate Economics, Vol. 35, No. 4, pp. 541-567, Winter 2007. Available at SSRN: http://ssrn.com/abstract=1030895 or http://dx.doi.org/10.1111/j.1540-6229.2007.00200.x

Contact Information

Dennis R. Capozza (Contact Author)
University of Michigan, Stephen M. Ross School of Business ( email )
701 Tappan Street
Ann Arbor, MI MI 48109
United States
734-764-1269 (Phone)
734 629-0635 (Fax)
Ryan D. Israelsen
Indiana University - Kelley School of Business - Department of Finance ( email )
1309 E. 10th St.
Bloomington, IN 47405
United States

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