Underlying asset liquidity, heterogeneously informed investors, and REITs excess returns

Abstract
Purpose – Real estate investment trust (REIT) stocks are well known for limited management
discretion in investment, financing, and payout policies, implying little information asymmetry
between informed and uninformed investors. Besides, due to the renowned illiquidity and complexity
of physical real estate markets, investors may be heterogeneously informed. The authors aim to
inves ...