explaining EREIT returns and examines the usefulness of these variables in forecasting returns. Four models are analyzed and … their predictive potential is assessed by comparing three forecasting methods: time varying coefficient (TVC) regressions …

variables useful in forecasting securitized real estate returns. This paper examines whether the predictive ability of the two … between securitized real estate and each of the two sets of forecasting variables. That is, we examine whether such … and real estate factors generally outperform economic variables in forecasting securitized real estate returns. Long …

, slope and curvature factors but have strong forecasting power for future bond excess returns. Local and global factors are … cross-section of yields conveys little information about the return-forecasting factors. We show that shocks to global risk …