Real estate as a new equity market sector: Market responses and return comovement
研究房地产公司从金融板块独立为新板块时，房地产与金融股票的市场反应和回报联动变化，发现房地产股票获得正异常回报且吸引更多投资者关注，两板块联动性显著下降。
Abstract This study examines the market responses and return comovement between real estate and financial stocks around the reclassification of real estate firms from the financial sector to a standalone new real estate sector. We find that real estate stocks experience positive abnormal returns at the announcement of new sector creation, and attract more investor attention after the announcement. In addition, the comovement between real estate and financial stocks decreases dramatically after the new sector creation. These findings demonstrate the market impact of new real estate sector creation and provide important implications for real estate investors, portfolio managers, and policy makers.