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