Lu, Chiuling; Tse, Yiuman; Williams, Michael - In: Review of Quantitative Finance and Accounting 40 (2013) 2, pp. 293-318
We examine daily cross-market return interactions and downside risk between a US REIT returns index and the return indexes of twelve international REIT markets. These relationships are investigated for a period of normal REIT market conditions as well as for periods of inflating and collapsing...
