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Paper eres2007_168:
Monetary Policy and Real Estate Investment Trusts

id eres2007_168
authors Stevenson, Simon; Don Bredin & Gerard O’Reilly
year 2007
title Monetary Policy and Real Estate Investment Trusts
source 14th Annual European Real Estate Society Conference in London, UK
summary 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 surprise change in the policy rate. The paper then examines the potential sources behind such an observed response. We find important differences between the REIT market and the broader equity market. Intuitively the impact of monetary policy on dividend news appears to be more pronounced in the REIT case. However, the decomposition of the response to monetary shocks is largely driven by revision in expectations regarding future excess returns and these results are largely consistent with the findings for the overall stock market as reported in Bernanke & Kuttner (2005).
series ERES:conference
discussion No discussions. Post discussion ...
session Session B6: Risk Management & Investment Dynamics
last changed 2009/11/19 09:01
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