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作者

来源

REAL ESTATE ECONOMICS,Vol.46,Issue1,P.210-250

语言

英文

关键字

SECURITIZED REAL-ESTATE; STOCK RETURNS; VOLATILITY DYNAMICS; EMPIRICAL-EVIDENCE; PROPERTY RETURNS; PRICE INDEXES; CROSS-SECTION; MARKET; RISK; PERFORMANCE

作者单位

[Pavlov, Andrey] Simon Fraser Univ, Beedie Sch Business, Vancouver, BC V5A 1S6, Canada. [Steiner, Eva] Cornell SC Johnson Coll Business, Sch Hotel Adm, 465B Statler Hall, Ithaca, NY 14853 USA. [Wachter, Susan] Univ Penn, Wharton Sch, Vance Hall 430,3733 Spruce St, Philadelphia, PA 19104 USA. Pavlov, A (reprint author), Simon Fraser Univ, Beedie Sch Business, Vancouver, BC V5A 1S6, Canada. E-Mail: apavlov@sfu.ca; ems457@cornell.edu; wachter@wharton.upenn.edu

摘要

The impact of stock market index membership on Real Estate Investment Trust (REIT) stock returns is unclear. Returns may become more like those of other indexed stocks and less like those of their underlying properties. Taking advantage of the inclusion of REITs in major S&P indexes starting in 2001, we find that shared index membership significantly increases the correlation between REIT returns. However, index membership also enhances the link between REIT returns and the underlying real estate, consistent with improved pricing efficiency.