This paper examines mean reversion processes in volatility structure of stock markets after extremely high or low stock returns. The stock market volatility is reflected in three aspects, overall volatility, volatility momentum, and volatility concentration, and they are measured by three basic...

Large foreign acquisitions of U.S. real estate always seem to generate considerable public concern. Most recently the reaction has been to Japanese purchases, but similar reactions occurred to Arab petro-dollar purchases in the early 1970s. This study examines the impact of the buyer's...

Previous studies have found that bank stock returns are very sensitive to changes in real estate returns in general. But how the composition and quality of bank real estate portfolios affect the sensitivity of bank stocks to real estate returns has not been rigorously examined. The purpose of...

This study analyzes the relationship between equity and mortgage real estate investment trust (REIT) stock prices by performing cointegration tests and causality tests, and estimating an error correction model. Evidence is found that a stable long-run linear relationship exists based on their...

Purpose – The purpose of this paper is to identify effects of prepayment risk on performance of commercial banks in the USA. Understanding how various risks impact banks' performance can help to improve performance of financial institutions and better estimate risk premia charged by banks on...

Purpose – The purpose of this paper is to identify effects of prepayment risk on performance of commercial banks in the USA. Understanding how various risks impact banks' performance can help to improve performance of financial institutions and better estimate risk premia charged by banks on...

Purpose – The purpose of this study is to investigate the impacts of interval measured data, rather than traditional point data, on economic variability studies. Design/methodology/approach – The study uses interval measured data to forecast the variability of future stock market changes....

Purpose – The purpose of this paper is to forecast variability in mortgage rates by using interval measured data and interval computing method. Design/methodology/approach – Variability (interval) forecasts generated by the interval computing are compared with lower- and upper-bound...