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Fama-French-Carhart Factor-Based Premiums in the US REIT market : a risk based explanation, and the impact of financial distress and liquidity crisis from 2001 to 2020

Essa, Mohammad Sharik; Giouvris, Evangelos - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-39

The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size, value, profitability, investment and momentum premiums within the US Real Estate Investment Trust market. Using daily data from 2001 to 2020, we examine the presence, magnitude and...

Persistent link: https://www.econbiz.de/10013545890

Stock Price Dynamics of US REITs : The Effect of Short Selling, Covid-19, and ESG

Trefz, Nick Martin - 2023

Office can be considered a source of volatility. Lastly, he shows that ESG ratings do not affect returns during Covid-19 …. However, higher ESG ranked REITs show significantly lower volatility during Covid-19. Der Autor Nick Martin Trefz is currently …

Persistent link: https://www.econbiz.de/10013518334

Ex-ante performance of REIT portfolios

Birz, Gene; Devos, Erik; Dutta, Sandip; Nguyen Khoa Huu; … - In: Review of quantitative finance and accounting 59 (2022) 3, pp. 995-1018

Persistent link: https://www.econbiz.de/10013459338

Predicting the returns of the US real estate investment trust market : evidence from the group method of data handling neural network

Zhang, Wendi; Li, Bin; Liew, Alan Wee-Chung; Roca, Eduardo - In: Financial innovation : FIN 9 (2023) 1, pp. 1-33

Purpose: The Group Method of Data Handling (GMDH) neural network has demonstrated good performance in data mining, prediction, and optimization. Scholars have used it to forecast stock and real estate investment trust (REIT) returns in some countries and region, but not in the United States (US)...

Persistent link: https://www.econbiz.de/10014363989

Industrial tail exposure risk and asset price : evidence from US REITs

Song, Jeongseop; Liow, Kim Hiang - In: Real estate economics 51 (2023) 5, pp. 1209-1245

Persistent link: https://www.econbiz.de/10014368743

A first look at the historical performance of the new NAV REITs

Couts, Spencer J.; Gonçalves, Andrei S. - 2024 - This version: January 2024

Persistent link: https://www.econbiz.de/10014475682

Aggregate earnings-returns relation : insights from REITs

Ali, Ijaz - In: Cogent business & management 9 (2022) 1, pp. 1-28

Prior research generally reports a positive relationship between firm-level accounting earnings surprises and contemporaneous stock prices, indicating that accounting earnings carry value-relevant information. Recent studies, however, show that investors respond negatively to unexpected changes...

Persistent link: https://www.econbiz.de/10014437246

Effects of ordered position on stock liquidity : new nonlinear evidence from Japanese reits

Cheung, William Ming Yan; Guo, Lewen; … - In: Journal of real estate research : JRER ; a publication … 45 (2023) 3, pp. 360-384

Persistent link: https://www.econbiz.de/10014420450

Revisiting the nexus of REITs returns and macroeconomic variables

Wu, Ming-Che; Wang, Chien-Ming - In: Finance research letters 59 (2024), pp. 1-7

Persistent link: https://www.econbiz.de/10014445407

The aftermarket performance of Spanish REITs

Castaño, Leticia; Farinós Viñas, José Emilio; … - In: Spanish journal of finance & accounting : the official … 51 (2022) 3, pp. 263-294

Persistent link: https://www.econbiz.de/10013357124