The Presence of the day-of-the week effect has been documented in equity markets throughout the world. Most of the studies reporting this pervasive pattern have relied on the OLS methodology. More recently, using more robust methodology, some inconclusive results have been report regarding the...

We evaluate REIT responses to the release of REIT-specific and macroeconomic news over two periods with differing economic climates. More specifically, using high-frequency data we track the response function over a period of sixty minutes following each announcement. Tests show REIT-specific...

We present strong evidence against the excess-comovement hypothesis-that the prices of commodities move together beyond what can be explained by fundamentals. Prior studies employ broad macroeconomic indicators to explain common price movements, and potentially correlated fundamentals are not...

We examine the relationship between the commitments of three of the largest groups of futures traders and the abnormal price movements in five agricultural commodities. The general evidence suggests that the commitments of futures traders have been increasing over time, whereas the frequency of...

This study examines the ability of existing futures contracts to hedge the returns on real estate investment trusts (REITs). The results from various hedging strategies suggest that existing futures contracts do not provide the means to effectively hedge REIT returns. REITs could remain...

This study employs a "hedged" apartment REIT index to track the performance of apartment real estate and to assess the performance of apartments in efficient mixed-asset portfolios consisting of stocks, bonds and real estate. The hedged apartment index reflects the returns of apartment REITs...

We examine whether REITs provide an inflation hedge in the long run. We also investigate whether the apparent lack of a positive relationship between general prices and REIT returns in prior studies arises from the impact that stock market movements have on REITs. As in most prior research,...