Spillovers of Non-Fundamental Risks: The Tale of Two Securitized Real Estate Markets
Tien Foo Sing () and
Long Wang ()
Additional contact information
Tien Foo Sing: National University of Singapore
International Real Estate Review, 2021, vol. 24, issue 2, 185-220
Ambrose et al. (2007) find significant evidence of information spillover effects between index real estate investment trusts (REITs) and nonindex REITs in the US markets using the inclusion of REITs into the S&P general market indices in an event study. This study, however, examines the effects of REIT index inclusion events by using non-index real estate operating company (REOC) returns in the US and Singapore. The study finds that REOC returns are more correlated with the general market index returns after REIT index inclusion events, but the spillover effects are smaller for REOCs in Singapore. The spillover effects of the REIT inclusion events are larger on non-index REITs than non-index REOCs in the US. When examining REIT inclusion events in Singapore, we find evidence of increases in betas only in the REIT market, but the changes in REOC betas are insignificant. However, we find that the REIT index inclusions significantly reduce the systematic risks of REOCs that sponsor the index REITs.
Keywords: Effects; Asset Comovement; Fundamental Factors; Sentiments and Market Friction; REITs and REOCs (search for similar items in EconPapers)
JEL-codes: L85 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
https://www.gssinst.org/irer/wp-content/uploads/20 ... l-Estate-Markets.pdf Full text (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ire:issued:v:24:n:02:2021:p:185-220
Ordering information: This journal article can be ordered from
Global Social Science Institute, 9200 Corporate Blvd., Suite 420 Rockville, MD 20850
Access Statistics for this article
International Real Estate Review is currently edited by Professor Sing Tien Foo and Professor Ko Wang
More articles in International Real Estate Review from Global Social Science Institute Global Social Science Institute, 9200 Corporate Blvd., Suite 420 Rockville, MD 20850.
Bibliographic data for series maintained by IRER Graduate Assistant/Webmaster ().