• Corpus ID: 18514

Departures from NAV in REIT Pricing: The Private Real Estate Cycle, the Value of Liquidity and Investor Sentiment

  title={Departures from NAV in REIT Pricing: The Private Real Estate Cycle, the Value of Liquidity and Investor Sentiment},
  author={Jim Clayton and Greg Mackinnon},
This paper examines the short-run relationship between REIT prices and the value of direct real estate owned by REITs (i.e. NAV) in the modern, post-1992 REIT era. We develop and estimate a model in which fluctuations in the average REIT sector price premium to NAV is a function of time variation in REIT sector growth opportunities, the value investors place on REIT liquidity, and sentiment-based trading on the part of non-real estate dedicated investors. We find evidence of a significant… 

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