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- W2081539997 abstract "This article examines 1) whether the relationship between the implied volatility measure, VIX, and REIT price volatility changes once a REIT is added to the S&P 500 and 2) whether the sensitivity to broad market risk factors and REIT returns change as a result of the addition. Relative to a 300-a-day period before each REIT was added to the index, results indicate that the VIX conveys information regarding the short-term price volatility for the REITs in the sample and that the sample returns become significantly more sensitive to the Fama and French and Carhart factors. Moreover, the explanatory power of the model increases, on average, from a little less than 17% for the period before the REIT is added to almost 60% once added. <b>TOPICS:</b>Volatility measures, analysis of individual factors/risk premia, real estate" @default.
- W2081539997 created "2016-06-24" @default.
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- W2081539997 date "2011-02-28" @default.
- W2081539997 modified "2023-09-26" @default.
- W2081539997 title "Implied Volatility and Market Factor Sensitivities: TheCase of REITs Added to the S&P 500 Index" @default.
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- W2081539997 doi "https://doi.org/10.3905/jii.2011.1.4.031" @default.
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