Giambona, Erasmo; Giaccotto, Carmelo; Sirmans, C.F. - In: Real Estate Economics 33 (2005) 2, pp. 351-380
This study investigates the long-horizon performance of open-market stock repurchases for real estate investment trusts (REITs). We develop a new methodology to model the autocorrelation of monthly returns into long-horizon buy-and-hold abnormal return estimators. Serial correlation can...