TY - JOUR
T1 - Comovement after joining an index
T2 - Spillovers of nonfundamental effects
AU - Ambrose, Brent W.
AU - Lee, Dong Wook
AU - Peek, Joe
PY - 2007/3
Y1 - 2007/3
N2 - This study considers the case of two overlapping categories in the context of recent category models. Specifically, we examine whether investor sentiment and market frictions specific to one category can affect the returns on assets belonging to the other category. With recent additions of several real estate investment trusts (REITs) into general stock market indices as a natural experiment, we find support for spillovers of such nonfundamental effects, as evidenced by the increased return correlation between REITs that remain outside the index and the index stocks. Further analysis reveals that market frictions play a greater role than investor sentiment.
AB - This study considers the case of two overlapping categories in the context of recent category models. Specifically, we examine whether investor sentiment and market frictions specific to one category can affect the returns on assets belonging to the other category. With recent additions of several real estate investment trusts (REITs) into general stock market indices as a natural experiment, we find support for spillovers of such nonfundamental effects, as evidenced by the increased return correlation between REITs that remain outside the index and the index stocks. Further analysis reveals that market frictions play a greater role than investor sentiment.
UR - http://www.scopus.com/inward/record.url?scp=33847073380&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=33847073380&partnerID=8YFLogxK
U2 - 10.1111/j.1540-6229.2007.00182.x
DO - 10.1111/j.1540-6229.2007.00182.x
M3 - Article
AN - SCOPUS:33847073380
SN - 1080-8620
VL - 35
SP - 57
EP - 90
JO - Real Estate Economics
JF - Real Estate Economics
IS - 1
ER -