The Consequences of REIT Index Membership for Return Patterns
研究了REIT被纳入主要股票指数后，其回报与指数内其他股票的相关性增强，但与基础房地产市场的联系也加深，表明定价效率提升。
Abstract The impact of stock market index membership on Real Estate Investment Trust (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.