Diavatopoulos, Dean
[Verfasser:in]
;
Fodor, Andy
[Sonstige Person, Familie und Körperschaft];
Howton, Shawn D.
[Sonstige Person, Familie und Körperschaft];
Howton, Shelly
[Sonstige Person, Familie und Körperschaft]
REIT Volatility and the Introduction of Listed Equity Options
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 7, 2009 erstellt
Beschreibung:
In this paper we examine how the introduction of traded options impacts the volatility of REITs and whether this impact is consistent with that seen for non-REIT equities. We document a drop in REIT volatility in 1996, just as the availability of options on REITs sees significant growth. REIT volatility significantly declines following the introduction on traded options. We find that both realized and implied total volatility are related to future realized volatility for REITs. Realized and implied idiosyncratic volatility are also significantly related to future realized idiosyncratic volatility. These results establish the important predictive power of these volatility measures for REITs