Showing 1 - 8 of 8
While a number of papers have investigated the time-series behavior of ex post bank stock returns and real estate returns, no study has comprehensively studied the relationship between ex ante risk premiums on both assets and the time-varying nature of such premiums in relationship to economic...
Persistent link: https://www.econbiz.de/10005680556
A vector autoregressive model is developed for predicting cash flow and returns in the private (unsecuritized) commercial property markets. The model predicts both of these variables quite well during the sample period. The forecasting model is then used to develop a simple "buy/sell" rule for...
Persistent link: https://www.econbiz.de/10005680648
This paper uses a multi-factor latent variable model to examine the time variation of expected returns on Asian property stocks. Using data from 1990 to 1997, we found strong evidence of time-varying risk premium, suggesting property development based on constant discount rate may underestimate...
Persistent link: https://www.econbiz.de/10005810412
This paper studies the return reversals of exchange traded real estate securities using an arbitrage portfolio approach. Using the approach, we find that there exist significant return reversals in such securities. These return reversals could be exploited by arbitrage traders if trading costs...
Persistent link: https://www.econbiz.de/10005810449
Persistent link: https://www.econbiz.de/10005547294
Recent evidence suggests that all asset returns are predictable to some extent with excess returns on real estate relatively easier to forecast. This raises the issue of whether we can successfully exploit this level of predictability using various market timing strategies to realize superior...
Persistent link: https://www.econbiz.de/10005547358
Recent evidence suggests that the variation in the expected excess returns is predictable and arises from changes in business conditions. Using a multifactor latent variable model with time-varying risk premiums, we decompose excess returns into expected and unexpected excess returns to examine...
Persistent link: https://www.econbiz.de/10005716685
The current study uses a present value model that allows for a time-varying expected discount rate in conjunction with a VAR process to decompose real estate risk. The study finds that the variance of unexpected returns accounts for most of the total risk with cash-flow risk accounting for twice...
Persistent link: https://www.econbiz.de/10005716787