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Downside Risk Optimization in Securitized Real Estate Markets
Kroencke, Tim Alexander - 2018
appealing downside risk (DR) framework suggested by Estrada (2008), which applies a similar optimization algorithm as the MV …
Persistent link: https://www.econbiz.de/10012940623
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Real Estate Risk in Equity Returns : Empirical Evidence from U.S. Stock Markets
Michel, Gaston (contributor) - 2009
Gaston Michel investigates whether shocks to real estate markets constitute an important source of the risk that is … priced in the cross section of equity returns. His results document that real estate risk explains a large part of the cross … pricing story: higher asset returns must be associated with lower prices and higher risk exposure. In particular, he …
Persistent link: https://www.econbiz.de/10013521240
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REITs' stock return volatility : property market risk versus equity market risk
Li, Lingxiao; Zhu, Bing - In: The journal of real estate finance and economics 69 (2024) 3, pp. 452-476
Persistent link: https://www.econbiz.de/10015080950
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Real estate risk in equity returns : empirical evidence from U.S. stock markets
Michel, Gaston - 2009 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003829197
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Direct real estate, securitized real estate, and equity market dynamic connectedness
Nguyen Thi Thu Ha; Balli, Faruk; Balli, Hatice Ozer; … - In: Applied economics 54 (2022) 23, pp. 2658-2677
Persistent link: https://www.econbiz.de/10013171112
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Is There Really Any Contagion Among Major Equity and Securitized Real Estate Markets?
Hui, Eddie - 2018
This study examines contagion across general equity and securitized real estate markets of China, Hong Kong and the US during Chinese financial crisis. This is the first study to combine the case-resampling bootstrap method with the coskewness and cokurtosis test. Thus the new method works well...
Persistent link: https://www.econbiz.de/10012920153
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Is there really any contagion among major equity and securitized real estate markets? : analysis from a new perspective
Hui, Eddie Chi Man; Chan, Ka Kwan Kevin - In: The journal of real estate finance and economics 56 (2018) 4, pp. 567-586
Persistent link: https://www.econbiz.de/10012038823
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Contagion between real estate and financial markets : a Bayesian quantile-on-quantile approach
Caporin, Massimiliano; Gupta, Rangan; Ravazzolo, Francesco - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012667335
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Co-Movements in Global Real Estate Equity Markets : Pre/Post the Liquidity Crisis of 2007
Almudhaf, Fahad - 2012
Factor analytic techniques were applied to 18 real estate equity markets using weekly FTSE EPRA/NAREIT data during the period 1997 to 2009. Our results from the exploratory factor analysis suggest three distinct factors during 1997 to 2007. With a single exception, the national returns fall...
Persistent link: https://www.econbiz.de/10013102684
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Testing the predictability and efficiency of securitized real estate markets
Schindler, Felix; Rottke, Nico; Füss, Roland - 2009
This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real...
Persistent link: https://www.econbiz.de/10003881575