Add to ORKGAbstract. Linear models of market performance may be misspecified if the market is subdivided into distinct regimes exhibiting different behavior. Price movements in the United States real estate investment trusts and United Kingdom property companies markets are explored using a threshold autoregressive (TAR) model with regimes defined by the real rate of interest. In both U.S. and U.K. markets, distinctive behavior emerges, with the TAR model offering better predictive power than a more conventional linear autoregressive model. The research points to the possibility of developing trading rules to exploit the systematically different behavior across regimes
The persistence of investment performance is a topic of perennial interest to investors. Efficient ...
This investigation explores the dynamic relation between transaction activity and price appreciation...
This research hypothesizes that, in markets where information costs, transac-tion costs and the econ...
Linear models of market performance may be misspecified if the market is subdivided into distinct re...
Linear models of property market performance may be misspecified if there exist distinct states wher...
The purpose of this study is to update a prior study and determine the significance of the real rate...
Although financial theory rests heavily upon the assumption that asset returns are normally distribu...
[[abstract]]Using the threshold auto-regressive (TAR) model, we set out in this study to determine w...
In a comparison between Australian and United Kingdom property markets this article re-examines the ...
JEL classification: C22 E4 G1 R3 Keywords: Real estate markets Macroeconomic factors Dynamic coheren...
While a significant amount of research has been undertaken on the risk premium existing in stock mar...
Using the threshold auto-regressive (TAR) model, we set out in this study to determine whether any l...
This study investigates the long-horizon performance of open-market stock re-purchases for real esta...
Purpose: The purpose of the paper is to examine the role of securitised real estate within the confi...
This article applies a three-regime Markov switching model to investigate the impact of the macroeco...
The persistence of investment performance is a topic of perennial interest to investors. Efficient ...
This investigation explores the dynamic relation between transaction activity and price appreciation...
This research hypothesizes that, in markets where information costs, transac-tion costs and the econ...
Linear models of market performance may be misspecified if the market is subdivided into distinct re...
Linear models of property market performance may be misspecified if there exist distinct states wher...
The purpose of this study is to update a prior study and determine the significance of the real rate...
Although financial theory rests heavily upon the assumption that asset returns are normally distribu...
[[abstract]]Using the threshold auto-regressive (TAR) model, we set out in this study to determine w...
In a comparison between Australian and United Kingdom property markets this article re-examines the ...
JEL classification: C22 E4 G1 R3 Keywords: Real estate markets Macroeconomic factors Dynamic coheren...
While a significant amount of research has been undertaken on the risk premium existing in stock mar...
Using the threshold auto-regressive (TAR) model, we set out in this study to determine whether any l...
This study investigates the long-horizon performance of open-market stock re-purchases for real esta...
Purpose: The purpose of the paper is to examine the role of securitised real estate within the confi...
This article applies a three-regime Markov switching model to investigate the impact of the macroeco...
The persistence of investment performance is a topic of perennial interest to investors. Efficient ...
This investigation explores the dynamic relation between transaction activity and price appreciation...
This research hypothesizes that, in markets where information costs, transac-tion costs and the econ...