What Drives REIT Prices? The Time-Varying Informational Content of Dividend Yields

In this study, I investigate the informational content in the dividend yields of equity real estate investment trusts (REITs). The findings show that during the vintage REIT era, 1980–1992, expected aggregate REIT dividend growth is forecastable from aggregate REIT dividend yields at both short and...

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Bibliographic Details
Published inThe Journal of real estate research Vol. 37; no. 2; pp. 173 - 190
Main Author Chiang, Kevin C.H.
Format Journal Article
LanguageEnglish
Published Clemson The American Real Estate Society 01.04.2015
Taylor & Francis Ltd
Subjects
Banking industry
Cash flow
Commercial real estate
Discount rates
Dividends
Economic growth
Empirical research
Expected returns
Financial economics
Forecasts
Industrial market
Investment trusts
Price models
Real estate
Real estate industry
Real estate investment trusts
REITs
Securities markets
Stock prices
Studies
Volatility
Yield
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Summary:In this study, I investigate the informational content in the dividend yields of equity real estate investment trusts (REITs). The findings show that during the vintage REIT era, 1980–1992, expected aggregate REIT dividend growth is forecastable from aggregate REIT dividend yields at both short and long horizons. This empirical predictive relation isnegative, which is consistent with the usual prediction of the dividend pricing model. In contrast, over the new REIT era, 1993–2011, there is a positive predictive relation from dividend yields to aggregate REIT returns. Meanwhile, REIT dividend yield cedes its role in predicting aggregate REIT dividend growth.
Bibliography:ObjectType-Article-1
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ObjectType-Feature-2
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ISSN:0896-5803
2691-1175
DOI:10.1080/10835547.2015.12091411