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Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios
Guidolin, Massimo - 2019
-horizon portfolio performances that may compete with those typical of bull and bear models. A typical investor with intermediate risk …
Persistent link: https://www.econbiz.de/10012904847
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Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios
Guidolin, Massimo - 2016
A recent literature has shown that, similarity to stocks and bonds, REIT returns contain strong evidence of bull and bear regimes, that may best captured using nonlinear econometric models of the Markov switching type
Persistent link: https://www.econbiz.de/10012996599
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The predictability of real estate excess returns : an out-of-sample economic value analysis
Guidolin, Massimo; Pedio, Manuela; Petrova, Milena - In: The journal of real estate finance and economics 67 (2023) 1, pp. 108-149
Persistent link: https://www.econbiz.de/10014322191
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Macroeconomic uncertainty and predictability of real estate returns : the impact of asset liquidity
Nayar, Nandkumar; Price, S. McKay; Shen, Ke - In: Journal of real estate research : JRER ; a publication … 46 (2024) 1, pp. 82-113
Persistent link: https://www.econbiz.de/10014582191
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Equally weighted vs. long-run optimal portfolios
Fugazza, Carolina; Guidolin, Massimo; Nicodano, Giovanna - In: European financial management : the journal of the … 21 (2015) 4, pp. 742-789
Persistent link: https://www.econbiz.de/10011408525
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Real estate illiquidity and returns : a time-varying regional perspective
Ellington, Michael; Fu, Xi; Zhu, Yunyi - In: International journal of forecasting 39 (2023) 1, pp. 58-72
Persistent link: https://www.econbiz.de/10014462768
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Ex-ante performance of REIT portfolios
Birz, Gene; Devos, Erik; Dutta, Sandip; Nguyen Khoa Huu; … - In: Review of quantitative finance and accounting 59 (2022) 3, pp. 995-1018
Persistent link: https://www.econbiz.de/10013459338
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A novel downside risk measure and expected returns
Liu, Jinjing - 2019
Several studies have found that the cross-section of stock returns reflects a risk premium for bearing downside risk …; however, existing measures of downside risk have poor power for predicting returns. Therefore, this paper proposes a novel … measure of downside risk, the ES-implied beta, to improve the prediction of the cross-section of asset returns. The ES …
Persistent link: https://www.econbiz.de/10012113746
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Idiosyncratic volatility and the cross-section of anomaly returns : is risk your ally?
Zaremba, Adam; Maydybura, Alina - In: Applied economics 51 (2019) 49, pp. 5388-5397
Persistent link: https://www.econbiz.de/10012197236
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Linear and nonlinear predictability of international securitized real estate returns : a reality check
Cabrera, Juan; Wang, T'ao; Yang, Jianke - In: The journal of real estate research 33 (2011) 4, pp. 565-594
Persistent link: https://www.econbiz.de/10009491970