文章基本信息

标题：Pricing Efficiency and Bounded Rationality: Evidence Based on the Responses Surrounding GICS Real Estate Category Creation
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作者：Helen X.H.Bao ; Adam Brady ; Ziyou Wang 等
期刊名称：International Real Estate Review
印刷版ISSN：1029-6131
出版年度：2020
卷号：23
期号：1
页码：37-63
语种：English
出版社：Asian Real Estate Society, Global Chinese Real Estate Congress
摘要：We use the reclassification of the real estate stocks in the S&P 500 from the Financials sector as a natural experiment to test the co-existence of both market force and behavioural biases. By performing event studies on real estate investment trusts (REITs) included in the S&P 400, S&P 500, and S&P 600 indices on both the announcement and implementation dates, we investigate the impact of the reclassification of the real estate stocks in the S&P 500 from the Financials sector to the newly created Real Estate sector under the Global Industry Classification Standard (GICS) system. We set up four hypotheses to test if the identified reclassification effect is due to improved pricing efficiency or bounded rationality. The event studies confirm the presence of abnormal returns during the announcement of the new sector and the S&P implementation. The reclassification effect is the largest for large-cap real estate stocks that are included in the S&P 500 index. These abnormal returns are robust to various measures of statistical significance and variation of event windows. The creation of a real estate category in the GICS improves the pricing efficiency of real estate stocks, but also triggers framing effects among investors. The market is under the influence of both rational and irrational forces.
关键词：Behavioural Bias;Framing;Sector Reclassification;Securitised Real Estate;REITs