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Explaining REIT returns
Letdin, Mariya; Sirmans, Corbitt Stace; Sirmans, G. Stacy; … - In: Journal of real estate literature : a publication of … 27 (2019) 1, pp. 3-25
Persistent link: https://www.econbiz.de/10012416738
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Volatility jumps and their determinants in REIT returns
Odusami, Babatunde Olatunji - In: Journal of economics & business 113 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012518307
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Further evidence on idiosyncratic risk and REIT pricing : a cross-country analysis
Mi, Lin; Benson, Karen; Faff, Robert W. - In: Accounting research journal 29 (2016) 1, pp. 34-58
Persistent link: https://www.econbiz.de/10011578767
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Macroeconomic risks and REITs returns : a comparative analysis
Kola, Katlego; Kodongo, Odongo - In: Research in international business and finance 42 (2017), pp. 1228-1243
Persistent link: https://www.econbiz.de/10011760970
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The volatility of a firm's assets and the leverage effect
Choi, Jaewon; Richardson, Matthew - In: Journal of financial economics 121 (2016) 2, pp. 254-277
Persistent link: https://www.econbiz.de/10011590720
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Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 194 (2016) 2, pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
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Roughing up beta : continuous versus discontinuous betas and the cross section of expected stock returns
Bollerslev, Tim; Li, Sophia Zhengzi; Todorov, Viktor - In: Journal of financial economics 120 (2016) 3, pp. 464-490
Persistent link: https://www.econbiz.de/10011590229
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Quantile relationships between standard, diffusion and jump betas across Japanese banks
Chowdhury, Biplob; Jeyasreedharan, Nagaratnam; Dungey, … - In: Journal of Asian economics 59 (2018), pp. 29-47
Persistent link: https://www.econbiz.de/10012102893
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Realized moments and bond pricing
Malinska, Barbora - 2019
realized moments - realized volatility, realized skewness and realized kurtosis using high-frequency data. We find realized … skewness to have significant negative effect on future excess returns, on the contrary realized volatility and realized …
Persistent link: https://www.econbiz.de/10012010467
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Statistical arbitrage with mean-reverting overnight price gaps on high-frequency data of the S&P 500
Stübinger, Johannes; Schneider, Lucas - In: Journal of risk and financial management : JRFM 12 (2019) 2/51, pp. 1-19
This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump-diffusion model and applies it to high-frequency data of the S&P 500 constituents from January 1998-December 2015. In particular, the established stock selection and trading framework identifies...
Persistent link: https://www.econbiz.de/10012022240