The impact of 9/11 on us reit returns: Fundamental or financial?

Abstract

Following the attack on the World Trade Center on 9/11 volatility of daily returns of the US stock market rose sharply. This increase in volatility may reflect fundamental changes in the economic determinants of prices such as expected earnings, interest rates, real growth and inflation. Alternatively, the increase in volatility may simply reflect the effects of increased uncertainty in the financial markets. This study therefore sets out to determine if the effects of the attack on the World Trade Center on 9/11 had a fundamental or purely financial impact on US real estate returns. In order to do this we compare pre‐and post‐9/11 crisis returns for a number of US REIT indexes and in general we find that the effect of the attack on the World Trade Center on 9/11 had only a financial effect on REIT returns and therefore was transitory.

SANTRUKA

Po Pasaulinio prekybos centro rugsejo 11‐aja ataku prieš JAV vertybiniu popieriu biržose eme staigiai kisti kasdiene investiciju graža. Šis augimas gali rodyti, kad fundamentaliai pakito tokie ekonominiai kainas lemiantys veiksniai, kaip laukiamas pelnas, palūkanu normos, realus augimas ir infliacija. Kita vertus, augantis kitimas gali tiesiog perteikti didesnio finansiniu rinku netikrumo poveiki. Todel šiame darbe siekiama nustatyti, ar Pasaulinio prekybos centro ataku pasekmiu poveikis JAV nekilnojamojo turto investiciju gražai buvo fundamentalus, ar tik finansinis. Siekiant tai išsiaiškinti, palyginta keliu JAV nekilnojamojo turto investiciju indeksu graža prieš rugsejo 11‐osios krize ir po jos. Nustatyta, kad šios atakos pasekmes padare finansini poveiki nekilnojamojo turto investiciju gražai, ir del to šis poveikis buvo laikinas.

Keywords:

• 9/11
• REITs
• Fundamental or financial effects