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Pacific, Europe, USA, and emerging markets with multivariate t copula based on GARCH model, and to measure portfolio … estimated equations of USA, Europe and emerging REIT index returns were ARMA(2,2)-GARCH(1,1), while ASIA-Pacific was ARMA(3 …
Persistent link: https://www.econbiz.de/10012961894
This paper studies the pricing of the risk associated with the location of the assets. The location risk is measured by ‘local beta’, which combines the systematic risk of local property markets and the property allocation strategy of real estate firms. The empirical results confirm a higher...
Persistent link: https://www.econbiz.de/10013239899
In this paper, we apply the method for removing the upward bias in returns in equally-weighted return indexes developed by Fisher, Weaver, and Webb (2010) to REIT stocks in the US. While we find significant bias in this index, two trends are evident: first, there is less overall bias than in...
Persistent link: https://www.econbiz.de/10013142144
-intensive industries in terms that matter to investors: revenue, profit, and most importantly, profit margin. Furthermore, the performance … industries: construction, transportation, and mining. Finally, we compared the profitability of the firms in these six industries … other industries in every period examined. Moreover, in this ten-year period, the copyright-intensive industries’ profit …
Persistent link: https://www.econbiz.de/10014153217
This paper examines earnings momentum strategies in the U.S. stock universe from an investor's perspective. Specifically, we use the software Stock Investor Pro from the American Association of Individual Investors (AAII) to obtain the composition of the U.S. stock universe from 2005-2015 on a...
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