existence of three market regimes (low, high and extreme or crash volatility) with transition ordered as ‘low, high and crash … volatility'. Although static herding model rejects the existence of herding in REITs markets, estimates of the regimes switching … model reveal substantial evidence of herding behaviours under the low volatility regime. Most interestingly we observe a …

We study the relation between REIT stock volatility and future returns, focusing particularly on the financial crisis … that REIT implied volatility is negatively related to contemporaneous stock returns; there is a significant positive … relationship between REIT implied volatility and future stock volatility; and there is a significant negative relation between REIT …

of long-term stock market volatility. When long-term volatility is high, stock returns are more sensitive to news, and …-linear present value framework with a two-component volatility model for the conditional variance of cash flow news and allowing for … volatility feedback. In our model, innovations to the long-term volatility component are the most important driver of discount …