Is the Information Deficiency in Real Estate Evident in Public Market Trading?
研究房地产证券交易的信息含量，用向量自回归方法分析信息收集活动与交易信息性的关系，发现证据支持交易者风险厌恶且信息收集者较少的理论模型。
This paper examines the summary informativeness of trading in real estate securities. Prior literature on publicly traded real estate securities suggests that the information deficiency associated with local economies and unique rent dynamics will manifest itself as severe information asymmetry. To date, most studies concerned with these issues have focused on the conventional measures of liquidity (serial correlations, bid—ask spreads, etc.). However, the conventional measures have several shortcomings as pure measures of trading information. To address this issue, we use a vector autoregressive methodology pioneered by Hasbrouck. We examine the empirical proposition that information‐gathering activities are related to trade informativeness. The evidence is consistent with a theoretical model in which traders are risk‐averse and the number of information gatherers is small.