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A reexamination of corporate sell-offs of real estate assets

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Abstract

This article reexamines the now generally accepted notion that sell-offs of real estate assets provide positive returns for sellers but not for buyers. Following previous research, we use event study methods, but we modify the conventional market model to permit its residuals (unexpected returns) to be described by a time-varying conditional variance. We also differ from previous work in that our sample contains only sell-offs that can be precisely dated. Although we find substantial evidence of time-varying volatility in the unexpected return series, our economic results confirm the conventional viewpoint.

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Authors and Affiliations

  1. Department of Finance, Louisiana State University, 2163 CEBA, 70803, Baton Rouge, LA, USA

    G. Geoffrey Booth (Professor of Finance and Union National Life Insurance Professor of Insurance)

  2. University of Connecticut, 06269, Storrs, CT, USA

    John L. Glascock (Professor of Finance and Real Estate)

  3. College of Business Administration, Henderson State University, P.O. Box 7663, 71999, Arkadelphia, AR, USA

    Salil K. Sarkar (Assistant Professor of Finance)

Authors
  1. G. Geoffrey Booth
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  2. John L. Glascock
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  3. Salil K. Sarkar
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Booth, G.G., Glascock, J.L. & Sarkar, S.K. A reexamination of corporate sell-offs of real estate assets. J Real Estate Finan Econ 12, 195–202 (1996). https://doi.org/10.1007/BF00132267

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  • DOI: https://doi.org/10.1007/BF00132267

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