Comovement After Joining an Index: Spillovers of Nonfundamental Effects
研究房地产投资信托加入股票指数后，指数外REITs与指数内股票的相关性上升，表明非基本面效应（如市场摩擦和投资者情绪）会跨类别溢出。
This study considers the case of two overlapping categories in the context of recent category models. Specifically, we examine whether investor sentiment and market frictions specific to one category can affect the returns on assets belonging to the other category. With recent additions of several real estate investment trusts (REITs) into general stock market indices as a natural experiment, we find support for spillovers of such nonfundamental effects, as evidenced by the increased return correlation between REITs that remain outside the index and the index stocks. Further analysis reveals that market frictions play a greater role than investor sentiment.