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

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 sig...

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Bibliographic Details
Published in:Journal of economics and finance 2019, Vol.43 (1), p.143-161
Main Authors: Fuller, Phillip, Yamani, Ehab, Yu, Geungu
Format: Article
Language:English
Subjects:
Banking
Classification
Commercial real estate
Economics
Economics and Finance
Equity
Finance
Financial services
Investment advisors
Macroeconomics/Monetary Economics//Financial Economics
Mutual funds
REITs
Securities markets
Stock exchanges
Stock prices
Stockholders
Volatility
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Summary: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.
ISSN:1055-0925
1938-9744
DOI:10.1007/s12197-018-9436-z