The concept of financial leverage is a paradigm in real estate investment and vital to most investment decision making. Financial theory suggests that the amount of leverage indicates the degree of risk tolerance associated with an investment. Clearly, leverage increases the buying power of an...

This paper conducts tests of the random walk hypothesis and market efficiency for twelve emerging securitized real estate markets as well as for four developed securitized real estate markets from 1992 to 2009. Random walk properties of equity prices influence return dynamics and market...

In this paper, we estimate the risk spillovers among 74 U.S. REITs using the state-dependent sensitivity value-at-risk (SDSVaR) approach. This methodology allows for the quantification of the spillover size as a function of a companyís financial condition (tranquil, normal, and volatile REIT...

In this paper, we analyze whether an investment strategy which is based on the net asset value (NAV) spreads of real estate stocks yields positive excess returns. For a global sample of 542 real estate stocks over the 2000 to 2012 period, we find that a portfolio which is long in the quintile of...

This paper searches for a common trend in the securitized real estateñregional stock market and securitized real estate-global stock market correlations. Although previous studies have reported that correlations between international stock returns, and to a lesser extent, real estate securities...

In this paper, we adopt the concepts of risk-return convergence and beta-convergence to measure and evaluate securitized real estate market integration for 16 FTSE-NAREIT-EPRA developed markets from North America, Europe and Asia-Pacific from November 1990 to December 2011. As securitized real...

"Property is a significant asset in the balance sheets of some Singapore industrial /commerce firms and hotel corporations. In this research, we take on the task to examine the relationship between real estate and stock market valuation of these business firms from an asset pricing perspective....

This research assesses the role of European property securities traded in Austria, Belgium, Finland, France, Germany, Italy, Spain, Sweden, Switzerland, United Kingdom and United States in domestic mixed-asset and international investment portfolios over a 10-year period, 1999-2009. This is an...

This paper investigates interdependence of weekly conditional volatility in 10 FTSE-NAREIT-EPRA European developed securitized real estate markets (The United Kingdom, France, Germany, Netherlands, Italy, Finland, Norway, Sweden, Switzerland and Spain) from November 1990 to December 2011. We...