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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
A recent literature has shown that REIT returns contain strong evidence of bull and bear dynamic regimes that may be best captured using nonlinear econometric models of the Markov switching type. In fact, REIT returns would display regime shifts that are more abrupt and persistent than in the...
Persistent link: https://www.econbiz.de/10012904847
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Long-term benefits from investing in international real estate
Schindler, Felix - 2009
This paper analyses long- and short-term co-movements between 14 international real estate stock markets based on bivariate testing for cointegration and correlation analysis. The results indicate that there exist strong long-term relationships within economic and geographical regions, but less...
Persistent link: https://www.econbiz.de/10003846077
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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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Empirical analysis of the illiquidity premia of German real estate securities
Paul, Thomas; Walther, Thomas; Küster-Simić, André - In: Financial markets and portfolio management 36 (2022) 2, pp. 203-260
Persistent link: https://www.econbiz.de/10013263540
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Liquidity in global real estate securities markets : a cyclical and regional analysis pre, during and post GFC
Lux, Nicole; Moss, Alex - In: Journal of property investment & finance 34 (2016) 4, pp. 321-346
Persistent link: https://www.econbiz.de/10011595033
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Fama–French–Carhart Factor-Based Premiums in the US REIT Market : A Risk Based Explanation, and the Impact of Financial Distress and Liquidity Crisis from 2001 to 2020
Essa, Mohammad Sharik; Giouvris, Evangelos - 2023
The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size … to establish the long/short-run impact of financial distress and liquidity crisis on these premiums during recessionary … liquidity crisis. On the other hand, size, value and investment premiums rise with financial distress/liquidity crisis, only …
Persistent link: https://www.econbiz.de/10014254802
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Are REITs real estate? : evidence from international sector level data
Hoesli, Martin; Oikarinen, Elias - 2012
The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market...
Persistent link: https://www.econbiz.de/10009558452
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Examination of the directions of spillover effects between the real estate and stock prices in Poland using wavelet analysis
Kołtuniak, Marcin - In: Bank i kredyt 47 (2016) 3, pp. 251-266
Persistent link: https://www.econbiz.de/10011532650
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Pricing and Liquidity in Decentralized Asset Markets
Uslu, Semih - 2019
trading frictions on the supply and price of liquidity. On social welfare, I show that the interaction of meeting rate …
Persistent link: https://www.econbiz.de/10012902875
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Systematic vs. Idiosyncratic Liquidity : Cross-section of Stock Returns
Ince, Baris - 2020
other hand, investors tend to underreact to idiosyncratic (il)liquidity. Hence, stocks with positive (negative …) idiosyncratic liquidity generate positive (negative) subsequent returns. More specifically, high-low idiosyncratic liquidity …-driven irrational investors are the main drivers of underreaction to idiosyncratic liquidity component …
Persistent link: https://www.econbiz.de/10012829036