The impact of the new real estate sector on REITs: an event study

Phillip Fuller (), Ehab Yamani () and Geungu Yu ()
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Phillip Fuller: Jackson State University
Ehab Yamani: Jackson State University
Geungu Yu: Jackson State University

Journal of Economics and Finance, 2019, vol. 43, issue 1, No 9, 143-161

Abstract: Abstract This paper examines the impact of reclassifying equity Real Estate Investment Trust (REITs) in the S&P 500 by transferring them from the Financials sector to a new Global Industry Classification Standard sector named Real Estate in an event-study context. The creation of the new sector had a significant impact on REITs included in the new Real Estate sector. Prior to the event date, REITs experienced significant negative returns. But after the event date, REITs also experienced significant positive returns which dissipated over time. The returns prior to (after) the event date would have resulted in a retail investor incurring losses (gains). While the magnitude of the trading volume increased noticeably prior to the event date, overall trading volume was not discernibly impacted.

Keywords: REITs; Event-study methodology; Abnormal return; Trading volume; S&P additions (search for similar items in EconPapers)
JEL-codes: C10 G14 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s12197-018-9436-z

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