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Returns transmission, value at risk, and diversification benefits in international REITs : evidence from the financial crisis

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Persistent link: https://www.econbiz.de/10009708114

Saving for a rainy day : evidence from the 2000 dot-com crash and the 2008 credit crisis

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Returns transmission, value at risk, and diversification benefits in international REITs: evidence from the financial crisis

Lu, Chiuling; Tse, Yiuman; Williams, Michael - In: Review of Quantitative Finance and Accounting 40 (2013) 2, pp. 293-318

We examine daily cross-market return interactions and downside risk between a US REIT returns index and the return indexes of twelve international REIT markets. These relationships are investigated for a period of normal REIT market conditions as well as for periods of inflating and collapsing...

Persistent link: https://www.econbiz.de/10010867711

Divergent expectations and closed-end funds : evidence from the post-Asian financial crisis period

Chang, Yuanchen; Chan, Kam C.; Fok, Robert C. W. - In: Journal of emerging markets 11 (2006) 2, pp. 5-14

Persistent link: https://www.econbiz.de/10003380125