The Impact of the New Real Estate Sector on REITs: An Event Study

Posted: 24 May 2017 Last revised: 24 Jun 2020

See all articles by Phillip Fuller

Phillip Fuller

Jackson State University

Ehab Abdel-Tawab Yamani

Chicago State University

Geungu Yu

Jackson State University

Date Written: February 19, 2018

Abstract

This paper examines the impact of reclassifying equity Real Estate Investment Trust (REITs) in the S&P 500 by transferring them from the Financials sector to a new Global Industry Classification Standard sector named Real Estate in an event-study context. The creation of the new sector had a significant impact on REITs included in the new Real Estate sector. Prior to the event date, REITs experienced significant negative returns. But after the event date, REITs also experienced significant positive returns. The returns prior to (after) the event date would have resulted in a retail investor having some losses (gains). While the magnitude of the trading volume increased noticeably prior to the event date, overall trading volume was not discernibly impacted.

Keywords: REITs; Event-Study Methodology; Abnormal Return; Trading Volume; S&P Additions

JEL Classification: G14; C10

Suggested Citation

Fuller, Phillip and Yamani, Ehab Abdel-Tawab and Yu, Geungu, The Impact of the New Real Estate Sector on REITs: An Event Study (February 19, 2018). Journal of Economics and Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2972095 or http://dx.doi.org/10.2139/ssrn.2972095

Phillip Fuller

Jackson State University ( email )

1400 John R. Lynch St
Jackson, MS 39217
United States

Ehab Abdel-Tawab Yamani (Contact Author)

Chicago State University ( email )

College of Business
9501 S. King Drive / BHS 411
Chicago, IL 60628
United States
773-995-3954 (Phone)

Geungu Yu

Jackson State University ( email )

1400 John R. Lynch St
Jackson, MS 39217
United States

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