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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

Local Beta : Have Location Risks Been Priced in REIT Returns?

Zhu, Bing; Lizieri, Colin - 2021

This paper studies the pricing of the risk associated with the location of the assets. The location risk is measured by ‘local beta’, which combines the systematic risk of local property markets and the property allocation strategy of real estate firms. The empirical results confirm a higher...

Persistent link: https://www.econbiz.de/10013239899

Removing Biases in Computed Returns : An Analysis of Bias in Equally-Weighted Return Indexes of REITs

Fisher, Lawrence - 2010

In this paper, we apply the method for removing the upward bias in returns in equally-weighted return indexes developed by Fisher, Weaver, and Webb (2010) to REIT stocks in the US. While we find significant bias in this index, two trends are evident: first, there is less overall bias than in...

Persistent link: https://www.econbiz.de/10013142144

Financial Intermediary Leverage, Volatility, and the Cross-Section of Asset Returns

Chan, Skyler - 2021

allocate resources. However, when trust is eroded with high volatility and unpredictable events, financial crises are amplified … economic recovery. Using a multi-factor model, I find that intermediary leverage, volatility, and more importantly their … between intermediary leverage and volatility to enable financial intermediaries to better manage their leverage in a rapidly …

Persistent link: https://www.econbiz.de/10013222034

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

Forecasting EREIT returns

Serrano, Camilo; Hoesli, Martin - 2007

Persistent link: https://www.econbiz.de/10003936146

Forecasting EREIT returns

Serrano, Camilo; Hoesli, Martin - 2007

This paper analyzes the role played by financial assets, direct real estate, and the Fama and French factors in explaining EREIT returns and examines the usefulness of these variables in forecasting returns. Four models are analyzed and their predictive potential is assessed by comparing three...

Persistent link: https://www.econbiz.de/10003961071

Conditional market beta for REITs : a comparison of modeling techniques

Zhou, Jian - In: Economic modelling 30 (2013), pp. 196-204

Persistent link: https://www.econbiz.de/10009703687

Myths and facts about the alleged over-pricing of US real estate : evidence from multi-factor asset pricing models of REIT returns

Guidolin, Massimo; Ravazzolo, Francesco; Tortora, … - In: The journal of real estate finance and economics 49 (2014) 4, pp. 477-523

Persistent link: https://www.econbiz.de/10010422266

Assessing the real estate pricing puzzle : a diagnostic application of the stochastic discounting factor to the distribution of REIT returns

Downs, David H. - In: The journal of real estate finance and economics 20 (2000) 2, pp. 155-175

Persistent link: https://www.econbiz.de/10001498667

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