Public vs. private market arbitrage : evidence from REITs

Downs, David H. (Virginia Commonwealth University) ; Sebastian, Steffen (University of Regensburg) ; Woltering, René-Ojas (Ecole hôtelière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland)

This paper examines the impact of the ratio of price-to-fundamental value on the stock market performance of real estate securities following seasoned equity offerings. Using a global sample of real estate securities, we distinguish between growth stocks, i.e. those with the highest stock prices relative to the private market value of their properties, and value stocks, which tend to trade at substantial discounts to their net asset value (NAV). Consistent with the notion that newly issued equity is ultimately priced similar to pre-SEO levels, we find that growth stocks perform significantly better than value stocks in the 36 months following the SOE. Overall, our findings are consistent with the hypothesis that growth REITs can benefit from “public vs. private market arbitrage”.


Mots-clés:
Type de conférence:
full paper
Ecole:
EHL Ecole hôtelière de Lausanne
Institut:
EHL - Département recherche
Classification:
Economie/gestion
Adresse bibliogr.:
Bonita Springs, Florida, USA, 10-14 April 2018
Date:
Bonita Springs, Florida, USA
10-14 April 2018
2018
Pagination:
22 p.
Publié dans
Proceedings of the 34th annual meeting of the American Real Estate Society (ARES)
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 Notice créée le 2018-05-11, modifiée le 2018-11-16

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