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This study is based on survey data on investor expectations for 40 metropolitan statistical areas (MSAs) in the US over the period from 2003:Q2 to 2014:Q2. The paper has two main objectives. These are firstly to identify whether expected rates of return across different commercial real estate...
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We study the relation between REIT stock volatility and future returns, focusing particularly on the financial crisis period of 2007-2009. There is ongoing debate about whether stock volatility can forecast future returns. Our findings suggest that REIT implied volatility is negatively related...
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