Why do REIT prices change? The information content of Barron's "The GroundFloor"

This article examines the information content in a series of market comment aries covering the publicly traded real estate market. The data are constru cted from REIT-specific announcements published in a widely disseminated so urce of market commentary. The empirical methodology is designed to test wh ether the unexpected price change and unexpected volume are significant on the announcement day. The results demonstrate that the market commentaries provide information that impacts prices and that investors use this informa tion in their trading. Additional analysis suggests that prices change more in the period following the REIT boom than during an earlier period. This result seems somewhat puzzling given recent studies that report an increase in REIT market liquidity.