REIT Short Sales and Return Predictability

36 Pages Posted: 6 Oct 2008 Last revised: 19 Jun 2009

See all articles by Benjamin M. Blau

Benjamin M. Blau

Utah State University - Huntsman School of Business

Matthew D. Hill

Arkansas State University

Hao Wang

University of Mississippi

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Date Written: October 2, 2008

Abstract

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 assets are more transparent. In a broader context, these results indicate differences in transparency across asset types influence the effectiveness of short selling. Results showing REIT short sellers are contrarian imply traders target REITs that are performing well instead of underperforming REITs, suggesting restrictions on REIT short sales should be re-evaluated.

Keywords: short sales, REITs

Suggested Citation

Blau, Benjamin M. and Hill, Matthew D. and Wang, Hao, REIT Short Sales and Return Predictability (October 2, 2008). Journal of Real Estate Finance and Economics, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1277502

Benjamin M. Blau (Contact Author)

Utah State University - Huntsman School of Business ( email )

3500 Old Main Hill
Logan, UT 84322
United States

Matthew D. Hill

Arkansas State University ( email )

2713 Pawnee
P.O. Box 1750
Jonesboro, AR 72467-115
United States

Hao Wang

University of Mississippi ( email )

Oxford, MS 38677
United States

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