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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Published in | The Journal of real estate research Vol. 37; no. 2; pp. 173 - 190 |
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Main Author | |
Format | Journal Article |
Language | English |
Published |
Clemson
The American Real Estate Society
01.04.2015
Taylor & Francis Ltd |
Subjects | |
Online Access | Get full text |
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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. |
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Bibliography: | ObjectType-Article-1 SourceType-Scholarly Journals-1 ObjectType-Feature-2 content type line 23 |
ISSN: | 0896-5803 2691-1175 |
DOI: | 10.1080/10835547.2015.12091411 |