The Journal of Real Estate Finance and Economics

, Volume 42, Issue 4, pp 481–503

REIT Short Sales and Return Predictability

Article

DOI: 10.1007/s11146-009-9196-9

Cite this article as:
Blau, B.M., Hill, M.D. & Wang, H. J Real Estate Finan Econ (2011) 42: 481. doi:10.1007/s11146-009-9196-9

Abstract

We examine REIT short sale transactions and show REITs are shorted less frequently than non-REITs. Results also show short sellers are less able to predict negative future returns for REITs, relative to non-REITs, which is consistent with increased pricing efficiency for REITs and suggests REIT assets are more transparent. In a broader context, these results suggest differences in transparency across asset types influence the effectiveness of short selling. Results showing REIT short sellers are contrarian imply traders target REITs that are performing well instead of underperforming REITs, suggesting restrictions on REIT short sales should be re-evaluated.

Keywords

REITShort saleReturn predictabilityPrice efficiency

Copyright information

© Springer Science+Business Media, LLC 2009

Authors and Affiliations

  1. 1.Department of Economics and Finance, Huntsman School of BusinessUtah State UniversityLoganUSA
  2. 2.Department of Finance, School of BusinessUniversity of MississippiUniversityUSA
  3. 3.Department of Finance, School of BusinessUniversity of MississippiOxfordUSA