Cabrera, Juan; Wang, Tao; Yang, Jian - In: Journal of Real Estate Research 33 (2011) 4, pp. 565-594
This paper examines short-horizon return predictability of ten largest international securitized real estate markets, with special attention paid to exploring possible nonlinearity-in-mean as well as nonlinearity-in-variance predictability. Although international securitized real estate returns...