Recent studies have documented an asymmetry in the market-beta of equity Real Estate Investment Trusts (REITs) based on high and low Gross Domestic Product (GDP) growth states, as well as in bull and bear stock markets. The asymmetry has been deemed a puzzle (Chatrath <italic>et al</italic>., 2000; Chiang <italic>et al</italic>.,...

This paper hypothesizes that the increase in money supply induced by rapid economic growth leads to strong investment demand in the Taiwanese housing market. A threshold model is used to confirm money supply as the key threshold variable. When the growth rate of money supply is below the model's...

In the current study, we focus on the capital asset pricing model (CAPM) beta and downside betas. The empirical results of market index returns in the international samples of 23 developed countries exhibit significant differences between the CAPM and downside betas, indicating that these models...

This paper examines how deviations from expected optimal cash holdings affect future stock returns in the real estate investment trust (REIT) industry. Our findings indicate that REIT managers elect to hold less cash to reduce the agency problems of cash flow, supporting the pecking order theory...

In 2007, a number of stock funds and Real Estate Investment Trusts (REITs) tended to invest in Asian markets due to their outstanding performance during the period prior to 2006. However, can this move increase the covariate between the stock and REIT markets in Asian markets as well as further...

This article analyses investment risk in the housing market by examining volatility properties of house prices for the UK. We use both ARCH and GARCH models to estimate price conditional heteroscedasticity and find evidence of a time-varying property in the volatilities of the house price...

The primary purpose of this paper is to examine dynamic causal relationships between house price and its five determinants, including total household income, short-run interest rates, stock price index, construction costs, and housing completions, in Taipei new dwelling market. Granger causality...