REIT Short Sales and Return Predictability
36 Pages Posted: 6 Oct 2008 Last revised: 19 Jun 2009
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REIT Short Sales and Return Predictability
REIT Short Sales and Return Predictability
Date Written: October 2, 2008
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 indicate 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: short sales, REITs
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