Monetary shocks and REIT returns

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Title: Monetary shocks and REIT returns
Authors: Bredin, Donal
O'Reilly, Gerard
Stevenson, Simon
Permanent link: http://hdl.handle.net/10197/1187
Date: 2007
Abstract: We investigate the influence of unanticipated changes in US monetary policy on Equity Real Estate Investment Trusts (REIT’s). Although a number of studies have investigated the issue of interest rate changes, the effect of unanticipated changes has not previously been addressed in terms of possible effects on both REIT’s returns and volatility. The results show a strong response in both the first and second moments of REIT returns to unexpected policy rate changes. The results for the impact of the shock on both mean and volatility of returns is consistent with results from studies addressing broader equity markets. However, we find evidence both against behavioral changes in volatility coincident to US monetary policy decisions and asymmetric responses to the monetary policy shock.
Type of material: Working Paper
Publisher: University College Dublin. School of Business. Centre for Financial Markets
Copyright (published version): 2007, Centre for Financial Markets
Subject LCSH: Monetary policy--United States
Real estate investment trusts
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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