Chang, Chien‐Yun; Chou, Jian‐Hsin; Fung, Hung‐Gay - In: Journal of Property Investment & Finance 30 (2012) 3, pp. 282-303
Purpose – The study uses an AR(1)‐EGARCH(1,1) model to investigate the pricing behaviors of the real estate investment trusts (REITs) for four countries (Australia, Japan, Taiwan and the USA) before and after the 2007 financial crisis. Design/methodology/approach – The study uses an...
