The Information Content of REIT Credit Rating Actions and Transparency

28 Pages Posted: 15 Jan 2014

See all articles by O. Alan Tidwell

O. Alan Tidwell

Columbus State University

Alan J. Ziobrowski

Georgia State University - Department of Real Estate

Paul Gallimore

University of Reading - School of Real Estate & Planning

SeungHan Ro

Konkuk University

Date Written: January 13, 2014

Abstract

We examine the short-run and long-run price reaction of equity real estate investment trust (REIT) shares following credit rating actions, testing the transparency of the REIT structure. Generally, the economic effect on the stock price is subdued for both upgrades and downgrades compared to prior literature examining the broader U.S. equity market. An examination of trading volume revealed a significant increase in trading in reaction to downgrade credit rating changes, with a more subdued response to upgrades. The findings support the notion that REITs are more publicly forthcoming about the expectation of positive news in comparison to negative news.

Keywords: REIT, price reaction, credit rating, economic effect, news reaction

Suggested Citation

Tidwell, O. Alan and Ziobrowski, Alan J. and Gallimore, Paul and Ro, SeungHan, The Information Content of REIT Credit Rating Actions and Transparency (January 13, 2014). Available at SSRN: https://ssrn.com/abstract=2378426 or http://dx.doi.org/10.2139/ssrn.2378426

O. Alan Tidwell (Contact Author)

Columbus State University ( email )

Columbus, GA 31907-5645
United States

Alan J. Ziobrowski

Georgia State University - Department of Real Estate ( email )

P.O. Box 4020
Atlanta, GA 30303-4020
United States
404-651-2760 (Phone)
404-651-2760 (Fax)

Paul Gallimore

University of Reading - School of Real Estate & Planning ( email )

Whiteknights
Reading, Berkshire RG6 6AH
United Kingdom

SeungHan Ro

Konkuk University ( email )

Seoul 143-701, Korea
120 Neungdong-ro, Gwangjin-gu
Seoul 143-701, 143-701
Korea, Republic of (South Korea)

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