Open Access. Powered by Scholars. Published by Universities.®
- Discipline
- Keyword
-
- Real estate (4)
- Studies (3)
- Mutual funds (2)
- Residential buildings (2)
- Theoretical treatment (2)
-
- United States (2)
- Asset allocation (1)
- Blocking effect (1)
- Equity (1)
- Experiment (1)
- Experminent (1)
- Foreign investments (1)
- Green buildings (1)
- Growth stocks (1)
- Household (1)
- Housing consumption (1)
- Housing prices (1)
- Impact analysis (1)
- Implied volatility (1)
- Investment analysis (1)
- Investment services (1)
- Land speculation (1)
- Law (1)
- Legislation (1)
- Market efficiency (1)
- Mobility (1)
- Personal finance (1)
- Property rights (1)
- REIT volatility transmission (1)
- Random walk (1)
Articles 1 - 9 of 9
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 analyze 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).
Simulation Analysis Of The Blocking Effect Of Transaction Costs In China's Housing Market, Hong Zhang, Yue Wang, Yin Lin, Yang Zhang, Michael J. Seiler
Simulation Analysis Of The Blocking Effect Of Transaction Costs In China's Housing Market, Hong Zhang, Yue Wang, Yin Lin, Yang Zhang, Michael J. Seiler
Finance Faculty Publications
To examine the blocking effect of transaction costs on household mobility, we construct a housing consumption model including transaction costs and adopt an analog simulation methodology, analyzing how changes in household income and home prices influence household consumption, savings decisions and the transaction costs blocking effect. We find that changes in housing demand are the fundamental cause of the blocking effect of transaction costs. The more demand changes, the greater the blocking effect is. Besides, increased volatility in home prices worsens the household mobility problem with regards to the blocking effect of transaction costs, while a change in household income …
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.
The Value Of "Green:" Evidence From The First Mandatory Residential Green Building Program, Ramya R. Aroul, J. Andrew Hansz
The Value Of "Green:" Evidence From The First Mandatory Residential Green Building Program, Ramya R. Aroul, J. Andrew Hansz
Finance Faculty Publications
There has been recent interest in green building and development practices and research. Resulting from growing environmental awareness and concerns, mandatory residential green building programs have been implemented nationally at the municipal level and Texas has passed legislation to create a statewide program. However, the impact of greenness on residential property values has not been rigorously evaluated. This study examines residential transaction prices in two cities and finds a statistically significant premium associated with "green" properties. Additionally, there is evidence of a larger premium associated with green properties located in Frisco, Texas which has the nations first mandatory green building …
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 …
Short Interests In Real Estate Investment Trusts, Deqing Diane Li, Kenneth Yung
Short Interests In Real Estate Investment Trusts, Deqing Diane Li, Kenneth Yung
Finance Faculty Publications
We examine short interests in equity real estate investment trusts (REITs) between 1994 and 2001. Our results show that only high levels (the 90th percentile) of short interest are associated with significant negative REIT returns as the bearish content of short interest may have been mitigated by the favorable risk characteristics of real estate securities. In addition, the significant negative relationship between short interest and REIT returns applies only to REITs with poor performance. The result implies that the bearish sentiment of short interest could aslo be mitigated by good REIT managers in a real estate market that is informationally …
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.
The Relationship Between Size And Return For Foreign Real Estate Investments, C. Mitchell Conover, H. Swint Friday, Shelly W. Howton
The Relationship Between Size And Return For Foreign Real Estate Investments, C. Mitchell Conover, H. Swint Friday, Shelly W. Howton
Finance Faculty Publications
In this study, we utilize a relatively new database to examine whether small foreign real estate firms have higher returns than large foreign real estate firms. We examine this issue from the perspective of a U.S. investor who forms portfolios of international real estate firms on the basis of U.S. dollar market value of equity. Using eleven years of foreign real estate data for more than 1200 observations in twenty countries, we find that large firms have higher returns and lower risk than small firms. These results hold when returns are denominated in either local currency or dollars. Further, the …