This paper studies the default anomaly that has been documented in the literature. We show that after controlling for the default-risk premium the default anomaly disappears. In contrast, controlling for credit spreads does not fully eliminate the anomaly. We also relate our results to the IVOL...

We investigate whether the favorable performance of a fairly simple multistate multivariate Markov regime switching model relative to even very complex multivariate GARCH specifications, recently reported in the literature using measures of in-sample prediction accuracy, extends to pseudo...

The fact that REIT returns display rich dynamic time series properties, such as conditional heteroskedasticity and time-varying risk premia, has recently come to the forefront of the real estate finance literature. In this paper we document the presence of Markov switching regimes in expected...

We use the Dynamic Conditional Correlation model with Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) developed by Engle (2002) to examine dynamics in the correlation of returns between publicly traded REITs and non-REIT stocks. The results suggest that REIT-stock...

The fact that REIT returns display rich dynamic time series properties, such as conditional heteroskedasticity and time-varying risk premia, has recently come to the forefront of the real estate finance literature. In this paper we document the presence of Markov switching regimes in expected...

We analyze the valuation and return performance of real estate trusts (RETs), the 19th-century predecessors of REITs. In contrast to REITs, RETs were not required to adhere to any statutory REIT regulations. Similar to modern-day REITs, we find that dividend growth rather than discount rates...