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Do we need non-linear models to predict REIT returns?

Case, Bradford; Guidolin, Massimo; Yildirim, Yildiray - 2013

We investigate whether the favorable performance of a fairly simple multistate multivariate Markov regime switching model relative to even very complex multivariate GARCH specifications, recently reported in the literature using measures of in-sample prediction accuracy, extends to pseudo...

Persistent link: https://www.econbiz.de/10010206925

Fundamental Drivers of Dependence in REIT Returns

Alcock, Jamie - 2018

We analyse the empirical relationships between firm fundamentals and the dependence structure between individual REIT and stock market returns. In contrast to previous studies, we distinguish between the average systematic risk of REITs and their asymmetric risk in the sense of a...

Persistent link: https://www.econbiz.de/10012913014

Fundamental Drivers of Dependence in REIT Returns

Alcock, Jamie - 2015

Persistent link: https://www.econbiz.de/10013014390

Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios

Guidolin, Massimo - 2019

A recent literature has shown that REIT returns contain strong evidence of bull and bear dynamic regimes that may be best captured using nonlinear econometric models of the Markov switching type. In fact, REIT returns would display regime shifts that are more abrupt and persistent than in the...

Persistent link: https://www.econbiz.de/10012904847

International Volatility Transmission of REIT Returns

Li, Deqing Diane - 2013

This study examines whether volatility of REIT returns can transmit across national borders. Two competing hypotheses are proposed. The first is the Transportable Risk Hypothesis which suggests geographic risk can be transmitted overseas if the general equity and real estate securities markets...

Persistent link: https://www.econbiz.de/10013090730

The Impact of Stock and Real Estate Returns on the Propensity of Households to Meet the Capital Accumulation Ratio Guideline

Letkiewicz, Jodi - 2014

The current study investigates the impact of substantial economic fluctuations on household portfolios and analyzes how the fluctuations influence households' propensities to meet the capital accumulation ratio threshold of 25%. The 1992 to 2007 Survey of Consumer Finances datasets were analyzed...

Persistent link: https://www.econbiz.de/10013060490

Are We Overestimating REIT Idiosyncratic Risk? Analysis of Pricing Effects and Persistence

Abugri, Benjamin A. - 2014

This study uses a multifactor REIT-specific model to estimate and compare REIT idiosyncratic volatility vis-à-vis the same from the Fama-French three-factor model. Estimates of conditional idiosyncratic volatility and conditional betas obtained from a multifactor REIT-returns model and a...

Persistent link: https://www.econbiz.de/10013063688

The Price Behavior of REITs Surrounding Extreme Market-Related Events

Glascock, John L. - 2014

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...

Persistent link: https://www.econbiz.de/10013210349

Carbon boards and transition risk: explicit and implicit exposure implications for total stock returns and dividend payouts

Mazzarano, Matteo; Guastella, Gianni; Pareglio, Stefano; … - 2021

, multiple total stock return measures distinguishing dividend payouts from simple stock returns. Results suggest that both … explicit and implicit risks are positively related to dividend payouts and not to stock returns, while the overall effect on … exposure and, probably as a consequence, boards in carbon intensive companies use dividend policies to attract investment in …

Persistent link: https://www.econbiz.de/10012694482

Dividends versus Stock Repurchases and Long-Run Stock Returns under Heterogeneous Beliefs

Bayar, Onur - 2017

We analyze a firm's choice between dividend payments and stock repurchases under heterogeneous beliefs and the … of its equity, choose between paying out its cash available through a dividend payment or a stock repurchase, as well as …. Finally, we develop a number of new results characterizing a firm's long-run stock returns following dividend payments and …

Persistent link: https://www.econbiz.de/10012974192