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Empirical Evidence on the Measurement of Information Asymmetry on the Pricing of REITs on the Johannesburg Stock Exchange

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The Construction Industry in the Fourth Industrial Revolution (CIDB 2019)

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Abstract

The no-consensus nature of literature on measuring information asymmetry as it affects the pricing of stocks is fast becoming topical. The paper examines the level of information asymmetry associated with the pricing of 37 real estate investment trusts (SAREITs) over the last ten (10) years (2008–2018). Based on an exhaustive search and yield of unbalanced data from the price section of the I-NET (BFA) McGreggor database, the daily closing and opening price data were of 17 listed REITs were retrieved. The ordinary least square regression (OLS) model was adopted in a bid to test the relationship between information asymmetry other variables. These variables including cumulative bid-ask spread, price volatility, firm size and trading volume of 17 SAREITs (due to availability of relevant data) were controlled and regressed. Findings revealed that SAREITs have a low level of information asymmetry. This suggests that investors are able to make optimum investment decisions.

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Authors and Affiliations

  1. University of the Witwatersrand, Johannesburg, South Africa

    Oluwaseun Damilola Ajayi & Omokolade Akinsomi

Authors
  1. Oluwaseun Damilola Ajayi
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  2. Omokolade Akinsomi
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Correspondence to Oluwaseun Damilola Ajayi .

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Editors and Affiliations

  1. Construction management and Quantity Surveying, University of Johannesburg, Johannesburg, Gauteng, South Africa

    Clinton Aigbavboa

  2. Construction management and Quantity Surveying, University of Johannesburg, Johannesburg, Gauteng, South Africa

    Wellington Thwala

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Ajayi, O.D., Akinsomi, O. (2020). Empirical Evidence on the Measurement of Information Asymmetry on the Pricing of REITs on the Johannesburg Stock Exchange. In: Aigbavboa, C., Thwala, W. (eds) The Construction Industry in the Fourth Industrial Revolution. CIDB 2019. Springer, Cham. https://doi.org/10.1007/978-3-030-26528-1_28

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  • DOI: https://doi.org/10.1007/978-3-030-26528-1_28

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-030-26527-4

  • Online ISBN: 978-3-030-26528-1

  • eBook Packages: EngineeringEngineering (R0)

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