Purpose: With a focus on the South African REIT market, this study examined the behavioural pattern of REIT dividend returns and establishes a causal linkage between informaon asymmetry indicators and REIT dividend return behaviour.

Design/Methodology/Approach: The daily returns on twelve (12) quoted SA REIT firms, and daily data on market information asymmetry indicators such as ask-bid price, trade volume, number of shares listed, volatility index, weighted value average price and market capitalization from the year 2007-2017, extracted from IRESS Expert database were used. The average of the data was calculated and used as a proxy for market data such as market REIT dividend return, market spread, market turnover market volatility index, market value- weighted average price and market capitalization. The study conducted a unit root and co- integration test, while the vector error correction model (VECM) was deployed to analyze the causal behaviour of REIT dividend returns under the asymmetric market information.

Finding: For the reviewed period (2007-2017), SA market REIT has a negative average return (-0.0312), skewed negatively (-6.2136) and exhibited gentle fluctuations, with higher degrees recorded in trading days of 2013, attributed to a transition period of the SA property stock to REIT regime. Also, the SA REIT dividend return behaves in a similar manner and responds sharply to shock in the market spread. Co-integration relationships exist among the exogenous variables, and market spread exhibited a significant causal effect (p<.05) with REIT dividend returns dynamics in both short and long-run relationships.

Practical implications: The study provides insight into the behaviour of REIT dividend return in an asymmetric information market condition of the South African property stock market.

Originality/Value: The study provides useful information on information asymmetry indicators that explains South Africa REIT dividend return behaviour. Additionally, this is the first study to investigate REIT dividend returns behaviour under the asymmetric market information using the South African REITs context.