The information content of REIT credit rating actions and transparency

Tidwell, O. A., Ziobrowski, A., Gallimore, P. and Ro, S. (2013) The information content of REIT credit rating actions and transparency. Journal of Real Estate Research, 35 (3). pp. 365-391. ISSN 0896-5803

Abstract/Summary

We examine the short-run and long-run price reaction of equity REIT shares following credit rating actions, testing the transparency of the REIT structure. Generally, the economic effect on the stock price is subdued for both upgrades and downgrades compared to prior literature examining the broader U.S. equity market. An examination of trading volume revealed a significant increase in trading in reaction to downgrade credit rating changes, with a more subdued response to upgrades. The findings support the notion that REITs are more publicly forthcoming about the expectation of positive news in comparison to negative news.