Exploring the driving force and price adjustment of the J-REIT market

Economics Bulletin, 2008, vol. 7, issue 4, pages 1-9

Abstract: We employ the Log-linearization and VAR method proposed by Campbell and Ammer (1993) to decompose the excess J-REIT equity return into three components: dividends, real interests and future excess returns. We find that the news about dividends combined with future excess returns account most of the movement of the J-REIT equity, while the effect of real interest rates could almost be negligible. We also take the question further to examine whether or not the J-REIT market have fully incorporate those news by adapting the methodology developed by Fu and Ng (2001). The results show that the J-REIT market have assimilated market news fully within a month lag.

Keywords: Excess Return; J-REIT; Price Adjustment; Variance Decomposition (search for similar items in EconPapers)
JEL-codes: G1 C3 (search for similar items in EconPapers)
Date: 2008-01-21
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