A key asset that is important in international markets is real estate - raw land and developed properties. Also, real estate can clearly have difference local rules for investment and transactions based upon bankruptcy protection, appraisal standards, lending standards, taxation and planning...

We examine REIT behavior around extreme market price occurrences. In general, we find that REITs that have higher liquidity and are larger in size tend to impound information more quickly and reverse more speedily after an extreme event. Also, we find that Equity REITs have stronger liquidity...

This research studies momentum returns in REITs by investigating the cross-sectional relationship between different types of volatilities and asset returns of REITs. We examine asymmetric risk effect in momentum returns with a GARCH-in-mean model and examine the effects of idiosyncratic...

Traditionally, we have assessed firm success relative to a two factor model using say size and a book-to-market ratio. However, recently Novy-Marx (2013) suggests that these measures may simple be a proxy for profitability in firms. The argument is that traditional profitability measures can be...

This research studies momentum returns in REITs by investigating the cross-sectional relationship between different types of volatilities and asset returns of REITs. We examine asymmetric risk effect in momentum returns with a GARCH-in-mean model and examine the effects of idiosyncratic...