Author: Zhen ChenPublisher:
ISBN:
Category :
Languages : en
Pages : 53
Book Description
This study extends the early empirical evidence of sentiment risk spillovers on firms within the same category (Barberis, Shleifer and Wurgler, 2005) and across the overlapping category (Ambrose et al., 2007) to other firms in a non-overlapping but correlated category. Using the first six REITs' inclusion into S&P general market indices in 2001 as the treatment, we find evidence of significant and positive return comovements in real estate operating companies (REOCs) with the general market indices, which are correlated with non-fundamental comovements in the REIT market. However, the effects of sentiment risk spillovers are weaker than those experienced in non-index REITs. For non-index REITs, we find significant heterogeneity in the return comovments when we sort the non-index REITs by type, property sector, size, and geographical focus. Our empirical results also could not reject the view that sentiment risks associated with the REITs' index inclusions cause return comovements of firms in other industries (such as retail trades, finance, insurance and real estate, manufacturing and services), which may be connected through a common real estate channel.