Investment analysis, price formation and neglected firms: Does real estatemake a difference?

This paper examines the relation between information-gathering activities a nd price formation when the gatherers are small in number. Two measures of information asymmetry are estimated to test the cross-sectional effect of i nvestment-analyst attention on price formation. The analysis contrasts firm s that invest predominately in real estate assets to those that do not. Unl ike most studies of the competition among information gatherers, the result s in this paper indicate that liquidity worsens with increasing investment- analyst attention. These findings provide further evidence that information deficiency is an important economic trait, although real estate securities may suffer less from neglect than from asset-specific information asymmetr y.