Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/46135
DC FieldValue
dc.titleExtrapolation theory and the pricing of REIT stocks
dc.contributor.authorOoi, J.T.L.
dc.contributor.authorWebb, J.R.
dc.contributor.authorZhou, D.
dc.date.accessioned2013-10-14T05:08:45Z
dc.date.available2013-10-14T05:08:45Z
dc.date.issued2007
dc.identifier.citationOoi, J.T.L.,Webb, J.R.,Zhou, D. (2007). Extrapolation theory and the pricing of REIT stocks. Journal of Real Estate Research 29 (1) : 27-55. ScholarBank@NUS Repository.
dc.identifier.issn08965803
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/46135
dc.description.abstractThis paper is the winner of the best paper on Real Estate Investment Trusts award (sponsored by the National Association of Real Estate Investment Trusts (NAREIT)] presented at the 2005 American Real Estate Society Annual Meeting. This study evaluates the investment prospects of value stocks in the real estate investment trust (REIT) market. Value stocks are defined as those that carry low prices relative to their earnings, dividends, book assets, or other measures of fundamental value. The empirical results show that from 1990 onwards, value REITs provide superior returns without exposing investors to higher risks. The evidence is consistent with the extrapolation theory, which attributes the mispricing to investors over extrapolating past corporate results into the future. Interestingly, the findings reveal that such extrapolation is asymmetric in the REIT market. While value REITs are underpriced in accordance with the extrapolation theory, no evidence is found that growth REITs are overpriced. The value anomaly also exhibited several temporal traits. Firstly, the value premium varies over time. Secondly, the magnitude of the premium is inversely associated with the market performance. Finally, the value anomaly is not evident in the pricing of REITs in the 1980s.
dc.sourceScopus
dc.typeArticle
dc.contributor.departmentREAL ESTATE
dc.description.sourcetitleJournal of Real Estate Research
dc.description.volume29
dc.description.issue1
dc.description.page27-55
dc.identifier.isiutNOT_IN_WOS
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