教師資料查詢 | 類別: 期刊論文 | 教師: 黃健銘 HUANG, CHIEN-MING (瀏覽個人網頁)

標題:REIT Market Efficiency Before and After Inclusion in the S&P 500
學年98
學期1
出版(發表)日期2009/09/01
作品名稱REIT Market Efficiency Before and After Inclusion in the S&P 500
作品名稱(其他語言)
著者Huang, Chien-ming; Su, Hsin-mei; Chiu, Chien-liang
單位淡江大學國際企業學系
出版者
著錄名稱、卷期、頁數Journal of Real Estate Portfolio Management 15(3), pp.239-250
摘要Executive Summary. This paper examines whether the degree of market efficiency of real estate investment trusts (REITs) was influenced when a number of them were included in the S&P 500 index. The analysis is based on the traditional variance ratio test, the non-parametric-based variance ratio test, and the multiple variance ratio test. The results confirm that the REIT market is inefficient for the sample as a whole, but exhibits a significantly strong improvement after 2001. This indicates that the market efficiency of REITs is propelled by the equity market, and an important change in time in the REIT market is observed.
關鍵字
語言英文
ISSN1083-5547
期刊性質
收錄於
產學合作
通訊作者
審稿制度
國別美國
公開徵稿
出版型式紙本
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