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Returns transmission, value at risk, and diversification benefits in international REITs : evidence from the financial crisis
Lu, Chiuling; Tse, Yiuman; Williams, Michael - In: Review of quantitative finance and accounting 40 (2013) 2, pp. 293-318
Persistent link: https://www.econbiz.de/10009708114
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The impact of leverage on the idiosyncratic risk and return relationship of REITs around the financial crisis
Gerlach, Richard; Obaydin, Ivan; Zurbruegg, Ralf - In: International review of economics & finance : IREF 38 (2015), pp. 207-219
Persistent link: https://www.econbiz.de/10011572352
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REIT crash risk and institutional investors
An, Heng; Wu, Qun; Wu, Zhonghua - In: The journal of real estate finance and economics 53 (2016) 4, pp. 527-558
Persistent link: https://www.econbiz.de/10011717582
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Dynamic effects of financial stress on the US real estate market performance
Sum, Vichet - In: Journal of economics & business 75 (2014), pp. 80-92
Persistent link: https://www.econbiz.de/10010421585
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US REITs' Returns Sensitivity to Interest Rates after the Global Financial Crisis
Morri, Giacomo - 2017
according to the different economic environments. Using two risk factors — the stock market and the changes in long …
Persistent link: https://www.econbiz.de/10012951320
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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 - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-39
premiums are associated with higher risk. The study then employs Auto-regressive distributed lag and Error Correction Modeling … returns without exposing investors to higher risk while portfolios based on size, profitability and investment, do tend to … expose investors to a higher risk. Thirdly, in contradiction to the risk based explanation of Fama-French/Carhart (2015 …
Persistent link: https://www.econbiz.de/10013545890
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Asian stock markets, US economic policy uncertainty and US macro-shocks
Donadelli, Michael - In: New Zealand economic papers 49 (2015) 2, pp. 103-133
Persistent link: https://www.econbiz.de/10011405080
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Extreme value dependence in financial markets : diagnostics, models, and financial implications
Poon, Ser-Huang; Rockinger, Michael; Twan, Jonathan - In: The review of financial studies 17 (2004) 2, pp. 581-610
Persistent link: https://www.econbiz.de/10002028108
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Income return versus capital appraisal for real estate funds during the financial crisis : evidence from Italy
Mattarocci, Gianluca; Siligardos, Georgios - In: EuroMed journal of business 10 (2015) 1, pp. 66-79
Persistent link: https://www.econbiz.de/10011344142