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”.


Keywords:
Conference Type:
full paper
Faculty:
Economie et Services
School:
EHL
Institute:
EHL - Département recherche
Subject(s):
Economie/gestion
Publisher:
Bonita Springs, Florida, USA, 10-14 April 2018
Date:
Bonita Springs, Florida, USA
10-14 April 2018
2018
Pagination:
22 p.
Published in:
Proceedings of the 34th annual meeting of the American Real Estate Society (ARES)
Appears in Collection:

Note: The status of this file is: restricted


 Record created 2018-05-11, last modified 2019-06-11

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