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The liquidity crisis, investor sentiment, and REIT returns and volatility
Huerta, Daniel; Egly, Peter V.; Escobari, Diego - 2015 - Version: November 2015
REIT returns and volatility over the sample period from December 2001 to February 2013. We find that the liquidity crisis … negatively impacts REIT returns and helps explain increases in volatility; this finding is robust to multiple specifications. We …
Persistent link: https://www.econbiz.de/10011402963
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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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Facts or fates of investors' losses during crises? : evidence from REIT-stock volatility and tail dependence structures
Huang, MeiChi; Wu, Chih-Chiang; Liu, Shih-Min; Wu, Chang-Che - In: International review of economics & finance : IREF 42 (2016), pp. 54-71
Persistent link: https://www.econbiz.de/10011625055
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Examining volatility spillover in Asian REIT markets
Lin, Pin-te - In: Applied financial economics 23 (2013) 22/24, pp. 1701-1705
Persistent link: https://www.econbiz.de/10010336274
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Is financial regulation good or bad for real estate companies? : an event study
Hoesli, Martin; Milcheva, Stanimira; Moss, Alex - In: The journal of real estate finance and economics 61 (2020) 3, pp. 369-407
Persistent link: https://www.econbiz.de/10012293192
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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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COVID‑19 and REITs crash : predictability and market conditions
Ahn, Kwangwon; Jang, Hanwool; Kim, Jinu; Ryu, Inug - In: Computational economics 63 (2024) 3, pp. 1159-1172
Persistent link: https://www.econbiz.de/10014546355
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REIT Crash Risk and Institutional Investors
An, Heng - 2016
This paper examines the relationship between the stock crash risk of REITs and different types of institutional investors. First, when we classify REIT institutional investors by their legal type, we find that the ownership of pension funds (bank trusts) is negatively (positively) related to...
Persistent link: https://www.econbiz.de/10012981822
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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
The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size, value, profitability, investment and momentum premiums within the US Real Estate Investment Trust market. Using daily data from 2001 to 2020, we examine the presence, magnitude and...
Persistent link: https://www.econbiz.de/10013545890