The Impacts of the 2008 and 2011 Crises on the Japan REIT Market

This empirical paper studies the fundamental value of the J-REIT price from impact of the 2008 financial crisis and the 2011 Japan earthquake between May 2003 and December 2014. The results show that the fundamental value of the J-REIT is determined only by the real estate price in the long-run. The short-run deviations from the fundamental value of the J-REIT price occur during the 2008 crisis and the 2011 earthquake because the trading volume by foreigners exceeded 50%. The deviations from the fundamental value were less persistent during 2008 and 2011 because the 2011 earthquake caused Japanese investors to focus on earthquake risk while foreigners departed from investing in the J-REIT market