"They're trading at $40 a share; all those guys at your conference thought they were worth $60, $70, $80, $90 just on the real estate," Kniffen said, referring to the remarks made by Starboard Value LP CEO Jeffrey Smith.
Smith said at the July 15 conference that the stock should be worth more than $125 a share, adding that Macy's could function as two companies, split between its operating business and real estate holdings.
However, the retail giant said Wednesday it is not pursuing the formation of a real estate investment trust at this time.
"There is substantial value in their real estate; there's no question about that," Matthew Boss, equity research analyst at J.P. Morgan, said in the same interview.
"I think the issue Macy's has is from a leverage standpoint. You have leverage approaching three times debt-to-EBITDA; that's a ceiling for most retailers that you don't want to go over, given it is a cyclical business."
Macy's stock has dropped over 35 percent year to date and more than 40 percent since July 15.
Macy's shares since July 15Source: FactSet
Macy's did not immediately respond to a CNBC request for comment.
DISCLOSURE: J.P. Morgan currently has, or has had, Macy's as a client and has provided non-investment banking services to the firm.