Real Estate Investment Trusts (REITs), traditionally known as an asset of low volatility, have been undergoing a period of unprecedentedly high volatility due to the current financial crisis. This has increased the need to search for appropriate methods to cope with extreme risks. This study...

We tests two important implications for Real Estate Investment Trust (REIT) market efficiency from the adaptive markets hypothesis (Lo, 2004): first, market efficiency is not an all-or-none condition but is a characteristic that varies continuously over time; second, market efficiency is...

This article studies extreme risk spillovers among international Real Estate Investment Trust (REIT) markets. We apply the procedure of Granger causality in risk to six major markets. Our full-sample (1991--2010) results suggest that strong risk spillovers, which could be unidirectional or...