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Liquidity and Liquidation: Evidence from Real Estate Investment Trusts

✍ Scribed by David T. Brown


Book ID
108502927
Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
139 KB
Volume
55
Category
Article
ISSN
0022-1082

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This paper assesses the response of real estate investment trusts (REIT's) to unexpected changes in US monetary policy. A critical element in this study is the use of futures markets to isolate unexpected changes in the policy rate. We find a significant negative response of REIT returns to a surpri