Explaining the Discount to NAV in REIT Pricing: Noise or Information?

Clayton, Jim; MacKinnon, Greg

doi:10.2139/ssrn.258268

Cited by 39 publications

(62 citation statements)

References 40 publications

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“…Specifically, the median value increased to higher than 1.20 for all of 1997 and decreased to lower than 0.90 for most of 2000 . Clayton and MacKinnon () further attribute the variations over time to changing investment sentiment in the REIT market . Linking the price/NAV ratio to REIT capital structure decisions, Boudry, Kallberg and Liu () find that REITs are more likely to issue equity when their price/NAV is trading higher than one, which generally coincides with the capital market valuing the cash flows of the underlying property portfolio more highly than the private market.…”

Section: Why Reitsmentioning

confidence: 99%

Rationale behind IPO Underpricing: Evidence from Asian REIT IPOs

Ooi

Mori

Wong

2018

Real Estate Economics

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This article examines the rationale behind IPO underpricing using a sample of REIT IPOs in Asia. Although the IPOs registered an average initial return of 3.08%, the issuers were able to sell the IPO shares above their fundamental values by timing the listings in periods when existing REIT stocks are traded at a premium to their net asset values (NAV). An IPO could therefore be underpriced and yet produce a net gain for the issuer. The issuers' net gain from IPO is, however, negatively related to long-run performance of REIT IPOs.

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Section: Why Reitsmentioning

confidence: 99%

Rationale behind IPO Underpricing: Evidence from Asian REIT IPOs

Ooi

Mori

Wong

2018

Real Estate Economics

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“…In addition to observable factors, unobservable factors, such as investor sentiment, may affect share prices. Indeed, Clayton and MacKinnon (2000) find a common time‐series component in REIT share prices relative to property values, which may reflect time‐series variation in investor sentiment. To control for time effects, we include year‐specific intercepts and we allow the coefficient on NAV to vary by year.…”

Section: Data and Empirical Specificationmentioning

confidence: 99%

Dividend Taxes and Share Prices: Evidence from Real Estate Investment Trusts

Gentry

Kemsley

Mayer

2003

The Journal of Finance

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Prior empirical evidence regarding the impact of dividend taxes on firm valuation is mixed.This study avoids some of the complications encountered in previous empirical work by exploiting institutional characteristics of REITs, such as their limited discretion over dividend policy and the relative transparency of REIT assets.We regress the market value of equity on the market value of assets and tax basis, which creates tax deductions that lower future dividend taxes without affecting future pretax cash flow. We find that firm value is positively related to tax basis, suggesting that future dividend taxes are capitalized into share prices.

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“…Examples includePagliari et al (2005);Clayton and MacKinnon (2001a);Ling and Ryngaert (1997) andBarkham and Geltner (1995) 4 An application of the dynamic correlation multivariate GARC model to build an optimal portfolio can be found inCase et al (2008) andHuang and Zhong (2006) Case et al (2008). construct an optimal portfolio of RETis, stocks, bonds and cash while the portfolio ofHuang and Zhong (2006) consists of seven asset classes-U.S. stocks, foreign stocks, U.S. bonds, foreign bonds, commodities, Treasury inflation-protected securities (TIPS), and U.S. REITs…”

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confidence: 99%