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Exploring a three-factor dependence structure of conditional volatilities : some quantile regression evidence from real estate investment trusts

Liow, Kim Hiang - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-13

We propose a simple three-factor pricing model, consisting of a local stock market index, a global REIT market index … investment trust (REIT) market from 11 countries over the sample period from 1 June 2008 to 30 April 2021. The main quantile … regression results reveal that a simultaneous dependence structure exists between each REIT market and local stock, global REIT …

Persistent link: https://www.econbiz.de/10013273545

Price and volatility persistence of the US REITs market

Adekoya, Oluwasegun B.; Oduyemi, Gabriel O.; Oliyide, … - In: Future Business Journal 7 (2021), pp. 1-10

-memory behavior is established for REITs volatility, although mean reversion is slower during and after the crisis. These results are …

Persistent link: https://www.econbiz.de/10012668306

Modeling of daily REIT returns and volatility

Asteriou, Dimitrios; Begiazi, Kyriaki - In: Journal of property investment & finance 31 (2013) 6, pp. 589-601

Persistent link: https://www.econbiz.de/10010187652

Do traditional real estate ETFs increase the volatility of REITs?

Hardin, William G.; Hurwitz, Catalina; Parhizgari, Ali M. - In: Journal of real estate research : JRER ; a publication … 42 (2020) 4, pp. 439-475

Persistent link: https://www.econbiz.de/10012414424

The impact of leverage on the idiosyncratic risk and return relationship of REITs around the financial crisis

Gerlach, Richard; Obaydin, Ivan; Zurbruegg, Ralf - In: International review of economics & finance : IREF 38 (2015), pp. 207-219

Persistent link: https://www.econbiz.de/10011572352

Facts or fates of investors' losses during crises? : evidence from REIT-stock volatility and tail dependence structures

Huang, MeiChi; Wu, Chih-Chiang; Liu, Shih-Min; Wu, Chang-Che - In: International review of economics & finance : IREF 42 (2016), pp. 54-71

Persistent link: https://www.econbiz.de/10011625055

An international perspective of volatility spillover effect : the case of REITs

Nikbakht, Ehsan; Shahrokhi, Manuchehr; Spieler, Andrew C. - In: International journal of business 21 (2016) 4, pp. 283-300

Persistent link: https://www.econbiz.de/10011584044

REIT stock market volatility and expected returns

Chung, Richard; Fung, Scott; Shilling, James D.; … - In: Real estate economics : journal of the American Real … 44 (2016) 4, pp. 968-995

Persistent link: https://www.econbiz.de/10011603513

Changes in sentiment on REIT industry excess returns and volatility

Huerta-Sanchez, Daniel; Escobari, Diego - In: Financial markets and portfolio management 32 (2018) 3, pp. 239-274

Persistent link: https://www.econbiz.de/10011951954

Further evidence on idiosyncratic risk and REIT pricing : a cross-country analysis

Mi, Lin; Benson, Karen; Faff, Robert W. - In: Accounting research journal 29 (2016) 1, pp. 34-58

Persistent link: https://www.econbiz.de/10011578767