We present empirical evidence using daily data for stock prices for 17 real estate companies traded in the Sao Paulo, Brazil stock exchange, from August 26, 2006 to March 31, 2010. We use the U.S. house price bubble, financial crisis and risk measures to instrument for momentums and reversals in...

Recent studies indicate that the natural resource curse, that is, the negative link between resource abundance and growth, may operate through a country’s financial system. Scholars show that resource-abundant economies suffer from lower financial development, which may indirectly affect...

This paper uses the global systemic shock associated with the outbreak of the novel coronavirus COVID-19 to assess the risk-return relationship in the cross-section of real estate equities internationally. I construct a global COVID-19 risk factor to capture the risk exposure of individual...

Asset prices in general, and real house prices in particular, are often characterized by a nonlinear data-generating process which displays mildly explosive behavior in some periods. Here, we investigate the emergence of explosiveness in the dynamics of real house prices and the role played by...

Housing prices, like the prices of other speculative assets, contain a mix of both small and large changes (i.e., jumps). We apply a jump-GARCH model to monthly Case-Shiller housing price indexes of twenty cities in the U.S. during the period January 1991 through December 2011. We document the...

This study applies a Lagrange Multiplier (LM) test for the AutoRegressive Conditional Heteroskedasticity (ARCH) effects and an Exponential Generalized Autoregressive Conditional Heteroskedasticity-in-Mean (EGARCH-M) model to assess whether regional house prices in Canada exhibit financial...

Borrowers in states with non-recourse mortgage law face limited liability on their mortgage loans. We examine how non-recourse law affects housing price volatility throughout the boom-bust cycle and whether non-recourse law-driven housing price volatility generates real effects on consumption...

Recent research has shown that macroeconomic uncertainty is a significant factor that is contemporaneously incorporated into asset returns. Therefore, it should not have a role in predicting future returns. At the same time, separate research has demonstrated that illiquidity is related to...

This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in a panel dataset of eighty-two countries and that the degree of memory in the panel can be related to macroeconomic variables such as short- and long-run interest rates...

This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in eighty-two countries and that the degree of memory can be related to macroeconomic variables such as inflation, unemployment rates, interest rates or stability of a...