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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/92688

    Title: REIT Market Efficiency Before and After Inclusion in the S&P 500
    Authors: Huang, Chien-ming;Su, Hsin-mei;Chiu, Chien-liang
    Contributors: 淡江大學國際企業學系
    Date: 2009-09
    Issue Date: 2013-10-22 10:21:52 (UTC+8)
    Abstract: 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.
    Relation: Journal of Real Estate Portfolio Management 15(3), pp.239-250
    Appears in Collections:[國際企業學系暨研究所] 期刊論文

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