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首页> 外文期刊>Applied Economics >REIT industry liquidity, valuation, and ownership reactions to ETF inceptions
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REIT industry liquidity, valuation, and ownership reactions to ETF inceptions

机译：Reit行业流动性，估值和对ETF入学的所有权反应

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摘要

We examine the impact of Real Estate Investment Trust (REIT) Exchange Traded Fund (ETF) inceptions on the valuation, ownership structure, and liquidity of the U.S. REIT market. We posit that the relative homogeneity and concentration of the REIT industry creates a strong interconnection among REITs, especially for events that involve a significant number of firms in the industry. Initial perusal of the data suggests that the scarce supply of REITs forces new funds to include, on average, 60% of all existing REITs in their portfolios thus shocking the industry as a result of fund creations. We find that REITs experience a significant increase in institutional ownership and in stock turnover upon ETF inceptions. Small REITs experience a positive valuation effect, a significant increase in number of shareholders, and a significant reduction in shadow cost, while large capitalization REITs experience a significant negative valuation effect. We attribute this result to portfolio rebalancing effects driven by the increased visibility and coverage of small REIT stocks as a consequence of fund inceptions. We additionally find that buy-and-hold abnormal returns are positive and significant for all REITs, suggesting a permanent impact of ETF inceptions on REIT valuations. Finally, we find that REIT ETF inceptions create permanent increases in volatility in the REIT industry.
机译：我们研究了房地产投资信托（REIT）交易所交易基金（ETF）成立对美国REIT市场的估值，所有权结构和流动性的影响。我们对Reit行业的相对均匀性和集中度产生了强大的互连，特别是对于涉及业内大量公司的事件。初始普通数据表明，Reits的稀缺供应迫使新的资金平均地包括60％的投资组合中所有现有的REITIT，从而令基于基金创作的震撼行业。我们发现Reits在ETF入学时经历了体制所有权和股票交易所的重大增加。小型家居体验持正估值效应，股东数量大幅增加，阴影成本显着降低，而大型资本化重新获得显着的负值估值效果。我们将此结果归因于由于基金入学而导致的小型REIT股票的可见度和覆盖率所驱动的投资组合重新平衡效果。我们还发现，所有Reits的买入和保持异常回报是积极的，非常重要，这表明ETF成立对重新估值的永久影响。最后，我们发现Reit ETF Inceptions在Reit Industry中创造了永久性的波动性。

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