This paper demonstrates that the effects of unanticipated monetary policy changes (shocks) on REIT returns are asymmetric between the high- and low-variance regimes. We utilize a Markov regime-switching model with error correction terms to quantify the impact of monetary shocks on seven...

Exchange Traded Funds (ETFs), including the innovative leveraged (long and inverse) types, and the ever more creative traditional versions, are accelerating in popularity as preferred investment and trading vehicles. Real estate, a major investment sector, has been made more accessible through...

The US housing market has experienced significant cyclical volatility over the last twenty-five years due to major structural changes and economic fluctuations. In addition, the housing market is generally considered to be weak form inefficient. Houses are relatively illiquid, exceptionally...

We examine the ability of bond fund managers to shift assets between bonds and cash and across bonds of different maturities in order to capture the changes in their relative returns. As measured by estimated changes in portfolio allocations, we find strong evidence of perverse market timing...

The ability of monetary policy to affect long-term interest rates is of central importance for economics and finance. Several recent studies have shown that long-term interest rates are virtually unaffected by monetary policy. This paper develops a statistical methodology to identify the...

This paper introduces state dependent utility into the standard Mehra and Prescott (1985) economy by allowing the representative agent's coefficient of relative risk aversion to vary with the underlying economy's growth rate. Existence of equilibrium is proved and its asymptotic properties...

This Paper introduces state dependent utility into the standard Mehra and Prescott (1985) economy by allowing the representative agent’s coefficient of relative risk aversion to vary with the underlying economy’s growth rate. Existence of equilibrium is proved and its asymptotic properties...

As interest in REIT shares grows among individual and institutional investors alike, questions surrounding the comparative performance of different types of REITs have taken on added importance. The corporate finance literature has produced some evidence that diversified firms trade at a...