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Volatilities and Momentum Returns in Real Estate Investment Trusts

โœ Scribed by Szu-Yin Kathy Hung; John L. Glascock


Book ID
106513937
Publisher
Springer US
Year
2009
Tongue
English
Weight
313 KB
Volume
41
Category
Article
ISSN
0895-5638

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โœ Don Bredin; Gerard O'Reilly; Simon Stevenson ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 158 KB

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