Fisher, Lawrence
[Verfasser:in]
;
Weaver, Daniel G.
[Sonstige Person, Familie und Körperschaft];
Webb, Gwendolyn P.
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 8, 2010 erstellt
Beschreibung:
In this paper, we apply the method for removing the upward bias in returns in equally-weighted return indexes developed by Fisher, Weaver, and Webb (2010) to REIT stocks in the US. While we find significant bias in this index, two trends are evident: first, there is less overall bias than in Non-REIT stocks, and second, the bias of REIT stocks has declined over time. These trends are consistent with growing listings of REIT stocks on the NYSE, as well as with increasingly higher stock prices. They also support the hypothesis that there have been significant improvements in the market micro-structure environment of REIT stocks since the early 1970s. We further apply our methodology to REIT stocks listed the two countries with the largest number of REITs outside the US: Germany and Australia. The results support the hypothesized relationship between index bias and market microstructure environment