Add to ORKGLinear models of market performance may be misspecified if the market is subdivided into distinct regimes exhibiting different behaviour. Price movements in the US Real Estate Investment Trusts and UK Property Companies Markets are explored using a Threshold Autoregressive (TAR) model with regimes defined by the real rate of interest. In both US and UK markets, distinctive behaviour 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 behaviour across regimes
A recent literature has shown that REIT returns contain strong evidence of bull and bear dynamic re...
This study investigates the long-horizon performance of open-market stock re-purchases for real esta...
This research hypothesizes that, in markets where information costs, transac-tion costs and the econ...
Abstract. Linear models of market performance may be misspecified if the market is subdivided into d...
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...
[[abstract]]Using the threshold auto-regressive (TAR) model, we set out in this study to determine w...
The random-walk hypothesis, vis-à-vis asset prices , suggests that prices traded in a market cannot ...
Although financial theory rests heavily upon the assumption that asset returns are normally distribu...
The persistence of investment performance is a topic of perennial interest to investors. Efficient ...
This article applies a three-regime Markov switching model to investigate the impact of the macroeco...
The current US residential real estate market is recovering although price growth remains stagnant. ...
We use a flexible Bayesian model averaging method to estimate a factor pricing model characterized b...
We investigate the degree of return predictability of lodging/resort real estate investment trusts (...
Volatility, or the variability of the underlying asset, is one of the key fundamental components of ...
A recent literature has shown that REIT returns contain strong evidence of bull and bear dynamic re...
This study investigates the long-horizon performance of open-market stock re-purchases for real esta...
This research hypothesizes that, in markets where information costs, transac-tion costs and the econ...
Abstract. Linear models of market performance may be misspecified if the market is subdivided into d...
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...
[[abstract]]Using the threshold auto-regressive (TAR) model, we set out in this study to determine w...
The random-walk hypothesis, vis-à-vis asset prices , suggests that prices traded in a market cannot ...
Although financial theory rests heavily upon the assumption that asset returns are normally distribu...
The persistence of investment performance is a topic of perennial interest to investors. Efficient ...
This article applies a three-regime Markov switching model to investigate the impact of the macroeco...
The current US residential real estate market is recovering although price growth remains stagnant. ...
We use a flexible Bayesian model averaging method to estimate a factor pricing model characterized b...
We investigate the degree of return predictability of lodging/resort real estate investment trusts (...
Volatility, or the variability of the underlying asset, is one of the key fundamental components of ...
A recent literature has shown that REIT returns contain strong evidence of bull and bear dynamic re...
This study investigates the long-horizon performance of open-market stock re-purchases for real esta...
This research hypothesizes that, in markets where information costs, transac-tion costs and the econ...