The Information Content of NAV Estimates

Forthcoming, Journal of Real Estate Finance and Economics

50 Pages Posted: 1 Jun 2020

See all articles by Ryan Chacon

Ryan Chacon

University of Colorado, Colorado Springs

Dan W. French

Lamar University; University of Missouri at Columbia

Kuntara Pukthuanthong

University of Missouri, Columbia

Date Written: April 13, 2020

Abstract

This paper investigates whether analysts’ estimates of firm fundamental value transmit unique information to security markets. Previous work has not studied analyst value estimates because of the scarcity of the release of such data. This study circumvents that limitation by considering the one type of firm for which a large sample of value estimates, known as the net asset value (NAV), exists: Real Estate Investment Trusts (REITs). Using a sample of 200 Equity REITs from 2001 to 2015, we document significant abnormal returns and share turnover on the announcement date of NAV revisions. This response is consistent with market reactions to announcements of other types of analysts’ estimates: earnings forecasts, price targets, and buy/sell recommendations. Our findings remain significant after controlling for these, suggesting the information contained in NAV revisions is incremental to that contained in other analyst estimates. Consistent with efficient information transmission, the market absorbs this new information quickly and completely.

Keywords: REIT, analyst, valuation, NAVs, market efficiency, information transmission

JEL Classification: G14, G17, R33

Suggested Citation

Chacon, Ryan and French, Dan W. and Pukthuanthong, Kuntara, The Information Content of NAV Estimates (April 13, 2020). Forthcoming, Journal of Real Estate Finance and Economics, Available at SSRN: https://ssrn.com/abstract=3575727

Ryan Chacon (Contact Author)

University of Colorado, Colorado Springs ( email )

1420 Austin Bluffs Parkway
Colorado Springs, CO 80918-7150
United States

Dan W. French

Lamar University ( email )

PO Box 10745
Beaumont, TX 77710
United States
409-880-8603 (Phone)

University of Missouri at Columbia ( email )

Columbia, MO Columbia 65211
United States

Kuntara Pukthuanthong

University of Missouri, Columbia ( email )

Robert J. Trulaske, Sr. College of Business
403 Cornell Hall
Columbia, MO 65211
United States
6198076124 (Phone)

HOME PAGE: http://https://kuntara.weebly.com

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