Open Access. Powered by Scholars. Published by Universities.®
- Keyword
-
- Mutual funds (2)
- Real estate (2)
- Studies (2)
- Asset allocation (1)
- Equity (1)
-
- Experiment (1)
- Growth stocks (1)
- Housing prices (1)
- Impact analysis (1)
- Implied volatility (1)
- Investment analysis (1)
- Investment services (1)
- Land speculation (1)
- Law (1)
- Market efficiency (1)
- Personal finance (1)
- Property rights (1)
- REIT volatility transmission (1)
- Random walk (1)
- Real estate investment funds (1)
- Real estate investment trust (REIT) subsectors (1)
- Residential buildings (1)
- Runs test (1)
- Secondary mortgage market (1)
- Theoretical treatment (1)
- United States (1)
- Variance decomposition (1)
- Variance ratio (1)
Articles 1 - 5 of 5
Full-Text Articles in Real Estate
Volatility Transmission: Evidence From U.K. Reit & Stock Market Implied Volatility, Mutale Katyoka, Simon Stevenson
Volatility Transmission: Evidence From U.K. Reit & Stock Market Implied Volatility, Mutale Katyoka, Simon Stevenson
Finance Faculty Publications
This paper investigates volatility transmission in the U.K. REIT market. It considers how REIT volatility is related to implied volatility in both the overall stock market as well as that derived from traded options on REIT stocks. The multivariate analysis utilizes both Constant Conditional Correlation (CCC) and Dynamic Conditional Correlation (DCC) GARCH specifications to analyse the interdependence of the data. The findings confirm the presence of volatility transmission across the implied volatility of U.K. REITs, the U.K. implied volatility index, and the U.K. REIT index. The study also applies the variance decomposition approach proposed by Diebold and Yilmaz to examine …
Random Walks And Market Efficiency: Evidence From Real Estate Investment Trusts (Reit) Subsectors, Fahad Almudhaf, Andrew J. Hansz
Random Walks And Market Efficiency: Evidence From Real Estate Investment Trusts (Reit) Subsectors, Fahad Almudhaf, Andrew J. Hansz
Finance Faculty Publications
This paper investigates the random walk behavior of real estate investment trust (REIT) subsectors using monthly return data from January 1994 to July 2015. Using variance ratio tests, we examine subsectors of lodging/ resorts and self-storage and find that they do not follow a random walk, contradicting the weak-form efficient market hypothesis. Nonparametric runs tests help us find that office, industrial, mixed, free standing, shopping centers, apartments, manufactured homes, and timberland subsectors are weak-form efficient. The evidence in this study supports the idea that some subsectors are more informationally efficient than other subsectors. Copyright © 2018 The Author(s).
Club Good Influence On Residential Transaction Prices, J. Andrew Hansz, Darren K. Hayunga
Club Good Influence On Residential Transaction Prices, J. Andrew Hansz, Darren K. Hayunga
Finance Faculty Publications
We examine residential real estate transactions in a market where an additional property right to a club good may have an influence on prices. We find that for single-family property, the market capitalizes approximately 50% of the full value of the extra property right. For condominiums, the amount reduces to approximately 25%. While these amounts are positive, they clearly are significantly lower than full value.
Real Estate Mutual Funds: A Style Analysis, Crystal Lin, Kenneth Yung
Real Estate Mutual Funds: A Style Analysis, Crystal Lin, Kenneth Yung
Finance Faculty Publications
We find that the characteristics of real estate related securities are different from those of the general common equities. To help investors understand better the products offered by real estate mutual funds, we develop style descriptors that are specifically created for real estate related securities. Among the universe of real estate securities, we find real estate funds tilt toward large stocks and favor growth moderately over value. Growth managers outperform value mangers in this sector by 1.51% to 2.30% per year. However, there is evidence of shifts in the investment style among the funds. Our results help investors in evaluating …
An Analysis Of The Cross Section Of Returns For Ereits Using A Varying-Risk Beta Model, C. Mitchell Conover, H. Swint Friday, Shelly W. Howton
An Analysis Of The Cross Section Of Returns For Ereits Using A Varying-Risk Beta Model, C. Mitchell Conover, H. Swint Friday, Shelly W. Howton
Finance Faculty Publications
A dual-beta asset pricing model is employed to examine the cross-section of realized equity real estate investment trust (EREIT) returns over bull and bear markets. No significant relationship is found between EREIT returns and a constant beta. However, beta explains cross-sectional returns when betas are allowed to vary across bull markets. This positive relationship exists for both January and non-January months. During bear-market months, no significant relationship is found between REIT betas and returns. But, during such months, size and book-to-market ratio are found to be negatively related to returns.