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Conditional market beta for REITs: A comparison of modeling techniques
Zhou, Jian - In: Economic Modelling 30 (2013) C, pp. 196-204
the literature by studying how to best model the time varying beta for REITs. We include several commonly used methods and ….S. equity REITs. Our results overwhelmingly suggest that the state space model is the best performer. Such a conclusion is … the cost of capital for the purpose of capital budgeting involving REITs, identifying equity REIT mispricing, evaluating …
Persistent link: https://www.econbiz.de/10011048940
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Time-spectral density and wavelets approaches. Comparative study. Applications to SP500 returns and US GDP
Ahamada, Ibrahim; Jolivaldt, Philippe - In: Economic Modelling 31 (2013) C, pp. 460-466
Various forms of instability can be observed in macroeconomic and financial data including changes in variance, changes in cycle properties, or both. Traditional tests do not allow to distinguish between these different cases. This paper proposes and compares two alternative approaches. The...
Persistent link: https://www.econbiz.de/10010636253
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Stock market integration and risk premium: Empirical evidence for emerging economies of South Asia
Abid, Ilyes; Kaabia, Olfa; Guesmi, Khaled - In: Economic Modelling 37 (2014) C, pp. 408-416
This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the International Capital Asset Pricing Model (ICAPM) accounting for the deviations from Purchasing Power Parity (PPP) as well as temporal...
Persistent link: https://www.econbiz.de/10010744008
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Dynamic modelling of real estate investment trusts and stock markets
Lee, Chien-Chiang; Chien, Mei-Se; Lin, Tsoyu Calvin - In: Economic Modelling 29 (2012) 2, pp. 395-407
Investment Trusts (T-REITs) and the aggregate equity markets and segmented industries has drawn the interests of both investors … uncover the extent and the magnitude of the relationship between T-REITs and aggregate and segmented stock prices. We … collected daily data of the first two issued T-REITs, Fubon No.1 and Cathay No. 1, from March 2005 to March 2010 and October …
Persistent link: https://www.econbiz.de/10010573260
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Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models
Chevallier, Julien - In: Economic Modelling 28 (2011) 6, pp. 2634-2656
This paper studies the nonlinear adjustment between industrial production and carbon prices – coined as ‘the carbon-macroeconomy relationship’ – in the EU 27. We model carbon price returns and industrial production as nonlinear and state-dependent, with dynamics depending on the sign and...
Persistent link: https://www.econbiz.de/10010577077
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Investor attention and stock market activity: Evidence from France
Aouadi, Amal; Arouri, Mohamed; Teulon, Frédéric - In: Economic Modelling 35 (2013) C, pp. 674-681
The aim of this paper is to study the influence of investor attention on the French stock market activity and volatility. Following an original way, we construct a non-standard proxy of investor attention on the basis of investors' online search behavior exclusively provided by “Google...
Persistent link: https://www.econbiz.de/10011048695
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The asymmetric price adjustment between REIT and stock markets in Asia-Pacific markets
Tsai, Ming-Shann; Chiang, Shu-Ling - In: Economic Modelling 32 (2013) C, pp. 91-99
(REITs) and stock, and their asymmetric adjustment behaviors in six Asian/Pacific financial markets: Australia, Japan … most of these markets. To earn exceptional profits, it is recommended that investors can sell (buy) the REITs when the … indices of REITs are lower (higher) than equilibrium in Australia, Singapore and Taiwan; on the other hand, they should sell …
Persistent link: https://www.econbiz.de/10010664404
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Examining the stochastic behavior of REIT returns: Evidence from the regime switching approach
Chen, Shyh-Wei; Shen, Chung-Hua - In: Economic Modelling 29 (2012) 2, pp. 291-298
In this paper the stochastic behavior of the returns on real estate investment trusts (REITs) is examined by using the …
Persistent link: https://www.econbiz.de/10010573376
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Employee Stock Option-Implied Risk Attitude Under Rank-Dependent Expected Utility
Bahaji, Hamza - 2015
Probability weighting is one of the cornerstones of decision-making theories accommodating gambling preferences. This paper examines its relevance to explaining employee stock option exercise behavior. We characterized the optimal exercise policy for a representative employee with Rank-Dependent...
Persistent link: https://www.econbiz.de/10013032297
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A dynamic estimation of governance structures and financial performance for Singaporean companies
Nguyen, Tuan; Locke, Stuart; Reddy, Krishna - In: Economic Modelling 40 (2014) C, pp. 1-11
In this study, a sample of 257 Singaporean domiciled non-financial listed companies is investigated using a system generalised method of moments (system GMM) estimator. This approach allows for controlling the potential sources of endogeneity which are inherent in the performance–governance...
Persistent link: https://www.econbiz.de/10010782002