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How integrated are real estate markets with the world market? Evidence from case-wise bootstrap analysis
Hatemi-J, Abdulnasser; Roca, Eduardo; Al-Shayeb, Abdulrahman - In: Economic Modelling 37 (2014) C, pp. 137-142
We investigate the extent by which real estate markets are integrated with the world market. We apply a case-wise bootstrap analysis — a method that is robust to non-normality and increased volatility that characterises financial markets, especially during periods of distress. We also take...
Persistent link: https://www.econbiz.de/10011048779
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The global financial crisis: Is there any contagion between real estate and equity markets?
Hui, Eddie Chi-man; Chan, Ka Kwan Kevin - In: Physica A: Statistical Mechanics and its Applications 405 (2014) C, pp. 216-225
This study examines contagion across equity and securitized real estate markets of Hong Kong, US and UK during the … the cokurtosis test to examine contagion between real estate and equity markets. The results show that the cokurtosis test … can detect additional channels of contagion, and hence is a more powerful test. In contrary to Fry et al. (2010), we find …
Persistent link: https://www.econbiz.de/10010931587
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A Web Of Shocks: Crises Across Asian Real Estate Markets
Bond, Shaun; Dungey, Mardi; Fry, Renée - In: The Journal of Real Estate Finance and Economics 32 (2006) 3, pp. 253-274
The behaviour of real estate markets during the 1997–98 Financial crisis in Asian economies has received little attention despite the extensive research on other asset markets over this time. This paper examines the transmission of shocks across national real estate markets prior to and during...
Persistent link: https://www.econbiz.de/10005716760
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Regional and global contagion in real estate investment trusts
Milunovich, George; Trück, Stefan - In: Journal of Property Investment & Finance 31 (2013) 1, pp. 53-77
Purpose – The purpose of this paper is to investigate contagion between real estate investment trusts (REITs) within … authors are interested in contagion between the considered markets during the 2007‐2009 GFC period in comparison to the entire …, Harvey and Ng, the paper defines contagion as excess comovement between two financial markets, after removing the effects of …
Persistent link: https://www.econbiz.de/10014898354
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Hedging against inflation: Housing vs. equity
Fehrle, Daniel - 2021
To which extent do equity and housing hedge against inflation? Despite an extensive literature, there is only little consensus. This paper presents new evidence from the Jordà-Schularick-Taylor Macrohistory Database, which covers return rates on housing and equity as well as consumer price...
Persistent link: https://www.econbiz.de/10013329984
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Hedging against inflation : housing vs. equity
Fehrle, Daniel - 2021
To which extent do equity and housing hedge against inflation? Despite an extensive literature, there is only little consensus. This paper presents new evidence from the Jordà-Schularick-Taylor Macrohistory Database, which covers return rates on housing and equity as well as consumer price...
Persistent link: https://www.econbiz.de/10012544584
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Backcasting, nowcasting, and forecasting residential repeat-sales returns : big data meets mixed frequency
Garzoli, Matteo; Plazzi, Alberto; Valkanov, Rossen I. - 2021 - This version: March 4, 2021
The Case-Shiller is the reference repeat-sales index for the U.S. residential real estate market, yet it is released with a two-month delay. We find that incorporating recent information from 71 financial and macro predictors improves backcasts, now-casts, and short-term forecasts of the index...
Persistent link: https://www.econbiz.de/10012487889
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Volatility spillovers, asymmetry and extreme events in securitized real estate returns
Hoesli, Martin; Reka, Kustrim - 2010
the comovements in the whole distribution and those in the tails. Third, we investigate market contagion by testing for … between the conditional tail dependences and correlations. Finally, we find evidence of market contagion between the U.S. and …
Persistent link: https://www.econbiz.de/10008797759
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A real options approach to distressed property Borrower-Lender reconciliation
Moore, David J.; Ikromov, Nuriddin - In: Journal of mathematical finance 5 (2015) 1, pp. 73-81
Persistent link: https://www.econbiz.de/10011398644
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Real estate transactions in ancient Israel : excavating embedded options utilizing modern finance
Prisman, Elizer Z. - In: Financial history review 22 (2015) 1, pp. 107-132
Persistent link: https://www.econbiz.de/10011378122