Wu, Pei-Shan; Huang, Chien-Ming; Chiu, Chien-Liang - In: International Review of Economics & Finance 20 (2011) 4, pp. 645-653
This investigation provides evidence and identifies two important structural changes in the risk characteristics of real estate investment trusts (REITs), namely, the 1993 tax reform and the inclusion of REITs in the mainstream S&P indices in 2001. Using daily data from 1989 to 2008, this study...