The Consequences of REIT Index Membership for Return Patterns

Andrey Pavlov; Eva Steiner; Susan Wachter

doi:10.1111/1540-6229.12202

The Consequences of REIT Index Membership for Return Patterns

Andrey Pavlov, Eva Steiner, Susan Wachter

Risk Management

Research output: Contribution to journal › Article › peer-review

14 Scopus citations

Abstract

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.

Original language	English (US)
Pages (from-to)	210-250
Number of pages	41
Journal	Real Estate Economics
Volume	46
Issue number	1
DOIs	https://doi.org/10.1111/1540-6229.12202
State	Published - Mar 1 2018

All Science Journal Classification (ASJC) codes

Accounting
Finance
Economics and Econometrics

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10.1111/1540-6229.12202

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The Consequences of REIT Index Membership for Return Patterns

Abstract

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