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

Author

Listed:
  • Phillip Fuller

    (Jackson State University)

  • Ehab Yamani

    (Jackson State University
    College of Business, Tanta University)

  • Geungu Yu

    (Jackson State University)

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.

Suggested Citation

  • Phillip Fuller & Ehab Yamani & Geungu Yu, 2019. "The impact of the new real estate sector on REITs: an event study," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 143-161, January.
    • Handle: RePEc:spr:jecfin:v:43:y:2019:i:1:d:10.1007_s12197-018-9436-z
    DOI: 10.1007/s12197-018-9436-z
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    Cited by:

    1. Abuelfadl, Moustafa & Yamani, Ehab, 2021. "Currency news and international bond markets," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).

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    More about this item

    Keywords

    REITs; Event-study methodology; Abnormal return; Trading volume; S&P additions;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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