Manipulation in U.S. REIT investment performance evaluation: empirical evidence

Alcock, Jamie, Glascock, John and Steiner, Eva (2013) Manipulation in U.S. REIT investment performance evaluation: empirical evidence. Journal of Real Estate Finance and Economics, 47 3: 434-465. doi:10.1007/s11146-012-9378-8


Author Alcock, Jamie
Glascock, John
Steiner, Eva
Title Manipulation in U.S. REIT investment performance evaluation: empirical evidence
Journal name Journal of Real Estate Finance and Economics   Check publisher's open access policy
ISSN 0895-5638
1573-045X
Publication date 2013-10-01
Year available 2012
Sub-type Article (original research)
DOI 10.1007/s11146-012-9378-8
Volume 47
Issue 3
Start page 434
End page 465
Total pages 32
Place of publication New York, United States
Publisher Springer
Language eng
Abstract We investigate whether Real Estate Investment Trust (REIT) managers actively manipulate performance measures in spite of the strict regulation under the REIT regime. We provide empirical evidence that is consistent with this hypothesis. Specifically, manipulation strategies may rely on the opportunistic use of leverage. However, manipulation does not appear to be uniform across REIT sectors and seems to become more common as the level of competition in the underlying property sector increases. We employ a set of commonly used traditional performance measures and a recently developed manipulation-proof measure (MPPM, Goetzmann et al., Rev Finan Stud 20(5):1503–1546, 2007) to evaluate the performance of 147 REITs from seven different property sectors over the period 1991–2009. Our findings suggest that the existing REIT regulation may fail to mitigate a substantial agency conflict and that investors can benefit from evaluating return information carefully in order to avoid potentially manipulative funds.
Keyword Real estate
Performance evaluation
Manipulation
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: School of Mathematics and Physics
Official 2014 Collection
 
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