| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10850 |
| 来源ID | Working Paper 10850 |
| Do Stock Prices Really Reflect Fundamental Values? The Case of REITs | |
| William M. Gentry; Charles M. Jones; Christopher J. Mayer | |
| 发表日期 | 2004-10-25 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | Real estate investment trust (REIT) stock prices deviate substantially from net asset values (NAV). Using REIT data since 1990, we find large positive excess returns to a strategy of buying stocks that trade at a discount to NAV, and shorting stocks trading at a premium to NAV. Estimated alphas from this strategy are between 0.9% and 1.8% per month, with little risk. Trading costs and short-sale constraints are not prohibitive and the results strengthen when we control for differences in liquidity or the extent of institutional ownership. We find that some variation in P/NAV makes sense, as premiums are positively related to recent and future NAV growth. However, there appears to be too much volatility in P/NAV, giving rise to potential profits from short-term mean reversion. The closed-end fund literature has some similar findings on stock price deviations from fundamental value, but compared to closed-end funds REITs are much larger and have much higher insider and institutional ownership. These differences suggest that REIT premiums and discounts reflect more than just small investor sentiment, which is a common explanation of why closed-end fund prices deviate from their fundamental value. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w10850 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568483 |
| 推荐引用方式 GB/T 7714 | William M. Gentry,Charles M. Jones,Christopher J. Mayer. Do Stock Prices Really Reflect Fundamental Values? The Case of REITs. 2004. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w10850.pdf（286KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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