Abstract
In this study, we examine the release of analysts’ net asset value estimates of firms and ask whether they transmit new information to security markets. We find that net asset value estimates do contain new information as measured both by abnormal returns and by abnormal share turnover. Our findings remain significant after controlling for concurrent analyst FFO forecasts, buy/sell recommendations, and price targets. Consistent with efficient information transmission, the information is absorbed quickly and permanently by market participants. Analysts of most companies seldom release definite net asset value estimates. The exception is real estate investment trusts (REITs), whose analysts regularly issue estimates of net asset values (NAV) based on the value of their underlying real estate portfolio. We are the first to our knowledge to examine whether analyst estimates of REIT NAVs transmit new information to securities markets.
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