The consequences of REIT index membership for return patterns
نویسندگان
چکیده
The impact of stock market index membership on REIT stock returns is unclear. Returns may become more like those of other indexed stocks and less like those of their underlying properties. Taking advantage of the inclusion of REITs in major S&P indexes starting in 2001, we find that shared index membership significantly increases the correlation between REIT returns. However, index membership also enhances the link between REIT returns and the underlying real estate, consistent with improved pricing efficiency. REIT investors appear to be able to enjoy improved visibility associated with index membership and increased exposure to underlying real estate markets.
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