Title

Asset pricing information in vintage REIT returns: An information subset test.

SelectedWorks Author Profiles:

Gary A. Patterson

Document Type

Article

Publication Date

2005

Date Issued

January 2005

Date Available

August 2014

ISSN

1080-8620

Abstract

REIT return data prior to the new REIT era offer important asset pricing information. At issue is whether empiricists should focus attention on returns series covering only the new period. We use a generalized asset pricing and information subset test to disentangle REIT information from information available in several benchmark series. Results indicate that REIT returns are informative about the discounting process during the pre-new-era period. Thus, the distribution of vintage REIT returns is not fully explained by either broad market indexes or from size-based anomalies. This study should be viewed as a useful empirical precedent for those studying REIT data preceding the new REIT era.

Comments

Citation only. Full-text article is available through licensed access provided by the publisher. Published in Real Estate Economics, 33(1), 5-25. doi: 10.1111/j.1080-8620.2005.00110.x.

Language

en_US

Publisher

Wiley-Blackwell Publishing, Inc.

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

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