The Consequences of REIT Index Membership for Return Patterns

Andrey Pavlov, Eva Steiner, Susan Wachter

Research output: Contribution to journalArticlepeer-review

4 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 languageEnglish (US)
Pages (from-to)210-250
Number of pages41
JournalReal Estate Economics
Volume46
Issue number1
DOIs
StatePublished - Mar 1 2018

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics

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