Short Sales and Fundamental Value: Explaining the REIT Premium to NAV
研究了卖空约束如何解释REIT定价中相对于净资产价值的溢价变化，发现卖空活动差异可解释至少三分之一的溢价变化，超额需求导致高估并解释溢价REIT的后续表现不佳。
This study explores the role of short sale constraints in explaining the variation in premiums to Net Asset Value (NAV) in REIT pricing. We use proprietary information on short sales between June 2006 and September 2008 to examine how short sales and short sale constraints affect the variation in monthly REIT NAV premiums using panel vector autoregression models. We find that variation in short sale activity across individual REITs can account for at least one‐third of the variation in NAV premiums. Short sale constraints tend to be binding when there is strong demand and limited supply of shares to short. Excess demand leads to overvaluation and the correction of the overvaluation explains the under‐performance of premium REITs.