What determines the mean reversion speed of NAV spreads?. Issue 4 (2nd October 2022)

• Record Type: Journal Article
• Authors: Schiller, Alexander; Woltering, René-Ojas; Weis, Christian; Sebastian, Steffen
• Is Part Of: Journal of property research. Volume 39:Issue 4(2022)
• Page Start: 293
• Page End: 320
• Publication Date: 2022-10-02
• Subjects: REITs -- mean reversion -- net asset value -- online search behaviour; Real estate business -- Great Britain -- Periodicals; Land use -- Great Britain -- Periodicals; 333.3
• DOI: 10.1080/09599916.2022.2105251
• Languages: English
• ISSNs: 0959-9916

Abstract

ABSTRACT: In this paper, we study the mean reversion behaviour of NAV spreads for a global sample of 219 listed real estate stocks. We find NAV spreads for companies trading at a high discount to mean revert fastest. Remarkably, we also provide evidence that online search attention impacts the mean reversion speed of NAV spreads: Stocks with lower levels of online search attention mean-revert significantly faster than those with higher levels. Our global research setting allows us to show that a country's average NAV spread has an impact on the NAV spreads of individual stocks. Ultimately, we find that the NAV spread of companies receiving high levels of online search attention has a disproportionately high impact on the NAV spreads of other companies.