REIT Short Sales and Return Predictability

Posted: 29 Jan 2011

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

Multiple version iconThere are 2 versions of this paper

Date Written: January 28, 2011

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 suggest 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: REIT, Short Sale, Return Predictability, Price Efficiency

Suggested Citation

Blau, Benjamin M. and Hill, Matthew D. and Wang, Hao, REIT Short Sales and Return Predictability (January 28, 2011). Journal of Real Estate Finance and Economics, Vol. 42, No. 4, 2011, Available at SSRN: https://ssrn.com/abstract=1750231

Benjamin M. Blau

Utah State University - Huntsman School of Business ( email )

3500 Old Main Hill
Logan, UT 84322
United States

Matthew D. Hill (Contact Author)

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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