REIT Volatility and the Introduction of Listed Equity Options

24 Pages Posted: 9 Jan 2009 Last revised: 20 Jan 2009

See all articles by Dean Diavatopoulos

Dean Diavatopoulos

Seattle University

Andy Fodor

Ohio University

Shawn D. Howton

Villanova University - Department of Finance

Shelly Howton

Villanova University - School of Business

Date Written: January 7, 2009

Abstract

In this paper we examine how the introduction of traded options impacts the volatility of REITs and whether this impact is consistent with that seen for non-REIT equities. We document a drop in REIT volatility in 1996, just as the availability of options on REITs sees significant growth. REIT volatility significantly declines following the introduction on traded options. We find that both realized and implied total volatility are related to future realized volatility for REITs. Realized and implied idiosyncratic volatility are also significantly related to future realized idiosyncratic volatility. These results establish the important predictive power of these volatility measures for REITs.

Keywords: REIT, Volatility, Implied Volatility, Idiosyncratic Volatility

Suggested Citation

Diavatopoulos, Dean and Fodor, Andy and Howton, Shawn D. and Howton, Shelly W., REIT Volatility and the Introduction of Listed Equity Options (January 7, 2009). Available at SSRN: https://ssrn.com/abstract=1325007 or http://dx.doi.org/10.2139/ssrn.1325007

Dean Diavatopoulos

Seattle University ( email )

901 12th Avenue
Seattle, WA 98122
United States

Andy Fodor

Ohio University ( email )

514 Copeland Hall
Athens, OH 45701
United States
740.593.0259 (Phone)

Shawn D. Howton (Contact Author)

Villanova University - Department of Finance ( email )

800 Lancaster Avenue
Villanova, PA 19085-1678
United States

Shelly W. Howton

Villanova University - School of Business ( email )

Dept. of Finance
Villanova, PA 19085
United States
610-519-6111 (Phone)
610-519-6881 (Fax)

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
201
Abstract Views
1,628
Rank
273,540
PlumX Metrics