We employ the Log-linearization and VAR method proposed by Campbell and Ammer (1993) to decompose the excess J-REIT equity return into three components: dividends, real interests and future excess returns. We find that the news about dividends combined with future excess returns account most of the movement of the J-REIT equity, while the effect of real interest rates could almost be negligible. We also take the question further to examine whether or not the J-REIT market have fully incorporate those news by adapting the methodology developed by Fu and Ng (2001). The results show that the J-REIT market have assimilated market news fully within a month lag.
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Article provided by Economics Bulletin in its journal Economics Bulletin.
Find related papers by JEL classification: G1 - Financial Economics - - General Financial Markets C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
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