Based on Diehold and Yilmaz's (2012) methodology, we estimate three return spillover indices in a four-asset system comprising equity REIT (EREIT), mortgage REIT (MREIT), stock, and bond for the sample period from January 1972 to September 2014. We find that the total return spillover risks...

This study empirically tests volatility effects on land development options using data on the government's land sales by tender for the period from 1995 to 2018. We find that development land option premiums increase by 6% on average with one standard deviation increase in conditional...

This study extends the early empirical evidence of sentiment risk spillovers on firms within the same category (Barberis, Shleifer and Wurgler, 2005) and across the overlapping category (Ambrose et al., 2007) to other firms in a non-overlapping but correlated category. Using the first six REITs'...

Large shocks that spill over from one market to another market become increasingly more prevalent especially in recent years as investors switch liquidity more frequently from markets to markets. This study uses Diebold and Yilmaz (2012) methodology to measure return spillovers across asset...