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

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  • Sichong Chen

    (Graduate School of Commerce and Management, Hitotusbashi University)

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.

Suggested Citation

  • Sichong Chen, 2008. "Exploring the driving force and price adjustment of the J-REIT market," Economics Bulletin, AccessEcon, vol. 7(4), pages 1-9.
    • Handle: RePEc:ebl:ecbull:eb-07g10019
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    References listed on IDEAS

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    Keywords

    J-REIT;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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