Purchase - $38.00

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

27 Pages Posted: 18 Nov 2007  

Dennis R. Capozza

Ross School of Business, University of Michigan

Ryan D. Israelsen

Michigan State University - Department of Finance

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.

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: https://ssrn.com/abstract=1030895 or http://dx.doi.org/10.1111/j.1540-6229.2007.00200.x

Dennis R. Capozza (Contact Author)

Ross School of Business, University of Michigan ( email )

701 Tappan Street
Ann Arbor, MI MI 48109
United States
734 995 7271 (Phone)
734 629-0635 (Fax)

Ryan D. Israelsen

Michigan State University - Department of Finance ( email )

315 Eppley Center
East Lansing, MI 48824-1122
United States

Paper statistics

Downloads
25
Abstract Views
1,527