The Bank of Japan as a real estate tycoon: large-scale REIT purchases

This is the first study to analyze the Bank of Japan's (BOJ) purchase of real estate investment trusts (REITs) since 2010 as part of enhanced unconventional monetary policy. The BOJ purchases REIT shares after observing a significantly negative return over the previous night and during the morning market. The BOJ continues daily purchases until the overnight and morning REIT returns become positive. On the day of the BOJ's purchase, the lunchtime and afternoon returns are more likely to be positive. This counter-cyclical behavior is consistent with the objective of decreasing risk premiums. Our study sheds light on the unique program of a central bank's equity purchases.