Two decades of progress 

This year marks the 20th anniversary of the FTSE EPRA Nareit (FEN) Global Real Estate Index. Over the past two decades, the index has become the industry’s compass, offering investors a transparent benchmark and companies a gateway to global visibility. 

A new study from EPRA, Revisiting the Index Effect, provides timely evidence of just how powerful index inclusion has been for listed property companies in Europe. Analysing more than two decades of additions and deletions in the FEN Developed Europe Index, the paper highlights measurable benefits in pricing, liquidity, and investor reach. These findings underscore the broader role the index has played since its inception: a catalyst for performance, growth, resilience, and credibility in global real estate markets.

The measurable impact of index inclusion 

The research confirms that companies entering the index enjoy a distinct and positive “index effect.” 

• Price uplift: In the days surrounding index announcement and implementation, newly included companies see strong outperformance, showing an average cumulative abnormal return (CAAR) of +5.7%. This reflects how investors quickly adjust their portfolio in anticipation to index changes and greater visibility. 
• Liquidity gains: New additions observe how their trading volume surges, rising almost 9x on the effective date. But inclusion brings not only short-term trading spikes but also lasting increases in share turnover. 
• Country dynamics: The impact is strongest in smaller markets. Belgium, for example, has seen CAARs as high as +11.9%, illustrating how index membership can elevate visibility where market depth is limited. 
• Size effect: Smaller companies highly beneficiated. Firms with lower market capitalisation record the sharpest positive response, demonstrating how the index levels the playing field by connecting them with international capital pools. 

By contrast, the study also shows the penalty of falling out of the benchmark. Deletions generate sharp downward adjustments, with an average CAAR of –15.7%, underlining the importance of maintaining eligibility.

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