Performance Identification for REITs by Using Draw Measures

We use existing drawdown measures as well as modifications and extensions to gain insight into pronounced periods of gains and losses among global real estate companies. While there is no indication on heavier loss periods for companies that had experienced higher drawups in the previous market upturn, it appears that companies which fell the most during the recent crisis experienced larger upward phases in the following period.

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Year of publication:	2013
Authors:	Stein, Michael ; Rachev, Svetlozar T.
Published in:	International Real Estate Review. - Asian Real Estate Society. - Vol. 16.2013, 3, p. 230-251
Publisher:	Asian Real Estate Society
Subject:	Maximum Drawdown \| Conditional Drawdown \| Drawup \| Real Estate Stocks

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Extent:	application/pdf
Type of publication:	Article
Notes:	Published
Classification:	L85 - Real Estate Services
Source:	RePEc - Research Papers in Economics

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