Showing 1 - 10 of 20
This paper analyses long- and short-term co-movements between 14 international real estate stock markets based on bivariate testing for cointegration and correlation analysis. The results indicate that there exist strong long-term relationships within economic and geographical regions, but less...
Persistent link: https://www.econbiz.de/10003846077
Persistent link: https://www.econbiz.de/10013438303
This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real...
Persistent link: https://www.econbiz.de/10003881575
This paper analyzes diversification benefits from international securitized real estate in a mixed-asset context. We apply regression-based mean-variance efficiency tests, conditional on currency-unhedged and fully hedged portfolios to account for foreign exchange risk exposure. From the...
Persistent link: https://www.econbiz.de/10008901843
Persistent link: https://www.econbiz.de/10008905559
Persistent link: https://www.econbiz.de/10008906773
Persistent link: https://www.econbiz.de/10003690953
This paper analyzes long-run co-movements between international real estate stock markets and between regions based on bivariate and multivariate tests for cointegration. While the topic has been analyzed in previous studies such as Gallo and Zhang (2009) and Yunus (2009) among others, this...
Persistent link: https://www.econbiz.de/10008652070
Persistent link: https://www.econbiz.de/10010510317
Persistent link: https://www.econbiz.de/10009696565