期刊論文

學年 98
學期 1
出版(發表)日期 2009-12-31
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), p.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 en
ISSN 1083-5547
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度
國別 USA
公開徵稿
出版型式 ,紙本
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