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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Effects of Interest Rate Changes on the Stock Returns of Real Estate Investment Trusts: An Event Study |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 61 |
| Date | 2017 |
| Abstract Text | Abstract This study investigates the effect of anticipated and unanticipated Federal funds target rate (FFTR) changes on the stock returns of Real Estate Investments Trusts (REITs) using daily stock returns over the period 1989 to 2008. For this purpose, the event study methodology is applied to determine abnormal returns around the date when a decision upon the FFTR was made. The results indicate that, on average, an unexpected decrease in the FFTR yields positive abnormal returns, whereas an unexpected increase in the FFTR leads to negative abnormal returns. Further, the results seem to imply that the absolute magnitude of the average abnormal returns increases with a REIT’s size. In contrast, expected FFTR shocks do generally not contribute to significant abnormal returns. |
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