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Sichong Chen
''Exploring the driving force and price adjustment of the J-REIT market''
( 2008, Vol. 7 No.4 )
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.
Keywords: J-REIT
Manuscript Received : Jan 08 2008 Manuscript Accepted : Jan 21 2008

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