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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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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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Spillover risks in REITs and other asset markets
Chiang, Ming-Chu; Sing, Tien-foo; Tsai, I-Chun - In: The journal of real estate finance and economics 54 (2017) 4, pp. 579-604
Persistent link: https://www.econbiz.de/10011797681
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Property-type diversification and REIT performance : an analysis of operating performance and abnormal returns
Anderson, Randy I.; Benefield, Justin D.; Hurst, Matthew E. - In: Journal of economics and finance 39 (2015) 1, pp. 48-74
Persistent link: https://www.econbiz.de/10011326121
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Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios
Guidolin, Massimo - 2019
-horizon portfolio performances that may compete with those typical of bull and bear models. A typical investor with intermediate risk …
Persistent link: https://www.econbiz.de/10012904847
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Wealth effect revisited : novel evidence on long term co-memories between real estate and stock markets
Kiohos, Apostolos; Babalos, Vassilios; Koulakiotis, … - In: Finance research letters 20 (2017), pp. 217-222
Persistent link: https://www.econbiz.de/10011806923
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Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios
Guidolin, Massimo - 2016
A recent literature has shown that, similarity to stocks and bonds, REIT returns contain strong evidence of bull and bear regimes, that may best captured using nonlinear econometric models of the Markov switching type
Persistent link: https://www.econbiz.de/10012996599
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Macroeconomic uncertainty and predictability of real estate returns : the impact of asset liquidity
Nayar, Nandkumar; Price, S. McKay; Shen, Ke - In: Journal of real estate research : JRER ; a publication … 46 (2024) 1, pp. 82-113
Persistent link: https://www.econbiz.de/10014582191
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A first look at the historical performance of the new NAV REITs
Couts, Spencer J.; Gonçalves, Andrei S. - 2024 - This version: January 2024
Persistent link: https://www.econbiz.de/10014475682