Abstract
This study aims to find the impact of change in economic policy uncertainty (EPU) on the returns and volatilities of 11 CRSP Ziman value-weighted US real estate investment trusts (REITs) during 1985-2016. The results indicate that the change in EPU has a positive relationship with volatility and a negative one with the REITs returns. Among EPU components, news-based component has the major impact than the others. Change in economic policy uncertainty has a significant impact on the returns of all the indices except hybrid, healthcare and unclassified REITs after controlling for macroeconomic variables. Whereas, the volatility is mainly explained by its own past values and macroeconomic variables.
| Original language | English |
|---|---|
| Article number | 1950016 |
| Journal | Annals of Financial Economics |
| Volume | 14 |
| Issue number | 4 |
| DOIs | |
| State | Published - 1 Dec 2019 |
| Externally published | Yes |
Bibliographical note
Publisher Copyright:© 2019 World Scientific Publishing Company.
Keywords
- Economic policy uncertainty
- REITs
- return
- volatility
ASJC Scopus subject areas
- Business and International Management
- Business, Management and Accounting (miscellaneous)
- Finance
- Economics and Econometrics
- Economics, Econometrics and Finance (miscellaneous)
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