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Fama-French-Carhart Factor-Based Premiums in the US REIT market : a risk based explanation, and the impact of financial distress and liquidity crisis from 2001 to 2020
Essa, Mohammad Sharik; Giouvris, Evangelos - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-39
The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size, value, profitability, investment and momentum premiums within the US Real Estate Investment Trust market. Using daily data from 2001 to 2020, we examine the presence, magnitude and...
Persistent link: https://www.econbiz.de/10013545890
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Environmental performance and the cost of debt : evidence from commercial mortgages and REIT bonds
Eichholtz, Piet; Holtermans, Rogier; Kok, Nils; … - In: Journal of banking & finance 102 (2019), pp. 19-32
Persistent link: https://www.econbiz.de/10012162733
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Industrial tail exposure risk and asset price : evidence from US REITs
Song, Jeongseop; Liow, Kim Hiang - In: Real estate economics 51 (2023) 5, pp. 1209-1245
Persistent link: https://www.econbiz.de/10014368743
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Does local economic uncertainty matter for risk of property companies? : evidence from US REITs
Song, Jeongseop - In: International journal of strategic property management 27 (2023) 2, pp. 105-119
Persistent link: https://www.econbiz.de/10014287646
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The stability of the covariances of international property share returns
Eichholtz, Piet - In: The journal of real estate research 11 (1996) 2, pp. 149-158
Persistent link: https://www.econbiz.de/10001208735
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Portfolio diversification benefits using real estate investment trusts : an experiment with US common stocks, equity real estate investment trusts, and mortgage real estate investm...
Bhuyan, Rafiq; Kuhle, James L.; Al-Deehani, Talla; … - In: International journal of economics and financial issues … 5 (2015) 4, pp. 922-928
Persistent link: https://www.econbiz.de/10011455294
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Idiosyncratic risk and spillover effect in REIT returns
Hui, Eddie Chi Man; Wang, Ziyou - In: International journal of strategic property management 22 (2018) 6, pp. 457-470
Persistent link: https://www.econbiz.de/10011998439
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Do REITs outperform stocks and fixed-income assets? : new evidence from mean-variance and stochastic dominance approaches
Chiang, Thomas C.; Hooi Hooi Lean; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 1 (2008) 1, pp. 1-40
This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first-order stochastic dominance and no arbitrage opportunity...
Persistent link: https://www.econbiz.de/10011556251
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Can linear predictability models time bull and bear real estate markets? : out-of-sample evidence from REIT portfolios
Bianchi, Daniele; Guidolin, Massimo - In: The journal of real estate finance and economics 49 (2014) 1, pp. 116-164
Persistent link: https://www.econbiz.de/10010422318
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Spillover risks in REITs and other asset markets
Chiang, Ming-Chu; Sing, Tien-foo; Tsai, I-Chun - In: The journal of real estate finance and economics 54 (2017) 4, pp. 579-604
Persistent link: https://www.econbiz.de/10011797681