DOES CHANGE IN ECONOMIC POLICY UNCERTAINTY AFFECT REAL ESTATE INVESTMENT TRUSTS (REITs)?

Ranjeeta Sadhwani, Suresh Kumar Oad Rajput (), Asad Ali-Rind () and Muhammad Tahir Suleman ()
Additional contact information
Ranjeeta Sadhwani: Faculty of Management Science, Sukkur IBA University, Airport Road, Sukkur, Sindh, Pakistan
Suresh Kumar Oad Rajput: Faculty of Management Science, Sukkur IBA University, Airport Road, Sukkur, Sindh, Pakistan
Asad Ali-Rind: Institut de Recherche en Gestion (IRG), Faculté de Sciences, Economiques et de Gestion, Université Paris-Est Créteil Val de Marne (UPEC), Place de la Porte des Champs, 4 Route de Choisy, 94010 Créteil Cedex, France
Muhammad Tahir Suleman: Department of Financial and Business Analysis, Room C208a Commerce Building, Lincoln University, Christchurch, New Zealand

Annals of Financial Economics (AFE), 2019, vol. 14, issue 04, 1-24

Abstract: This study aims to find the impact of change in economic policy uncertainty (EPU) on the returns and volatilities of 11 CRSP Ziman value-weighted US real estate investment trusts (REITs) during 1985–2016. The results indicate that the change in EPU has a positive relationship with volatility and a negative one with the REITs returns. Among EPU components, news-based component has the major impact than the others. Change in economic policy uncertainty has a significant impact on the returns of all the indices except hybrid, healthcare and unclassified REITs after controlling for macroeconomic variables. Whereas, the volatility is mainly explained by its own past values and macroeconomic variables.

Keywords: Economic policy uncertainty; REITs; volatility; return (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S2010495219500167
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:afexxx:v:14:y:2019:i:04:n:s2010495219500167

Ordering information: This journal article can be ordered from

DOI: 10.1142/S2010495219500167

Access Statistics for this article

Annals of Financial Economics (AFE) is currently edited by Michael McAleer

More articles in Annals of Financial Economics (AFE) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().