The conditional performance of REIT stock repurchases

Document Type

Article

Publication Title

Journal of Real Estate Finance and Economics

Publication Date

3-1-2006

Abstract

This paper uses a conditional performance measure to test whether real estate investment trust (REIT) managers announcing stock repurchases have private information about their firms' prospects. We use stock price to condition for public information and measure the managers' implied private information by the covariance between repurchase size and subsequent stock payoffs (or operating performance). Results show that managers have private information but mostly with respect to long-term as opposed to near-term payoffs. We also find that repurchase size is positively related to a stock's idiosyncratic return volatility, perhaps because noisy stocks deviate farther from fundamental value, offering informed managers larger profit potential. © Springer Science + Business Media, Inc. 2006.

Volume

32

Issue

2

First Page

129

Last Page

149

DOI

10.1007/s11146-006-6011-8

ISSN

08955638

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