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REIT momentum and the performance of real estate mutual funds
Derwall, Jeroen; Huij, Joop; Brounen, Dirk; Marquering, … - In: Financial analysts' journal : FAJ 65 (2009) 5, pp. 24-34
Persistent link: https://www.econbiz.de/10003891687
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REIT Momentum and the Performance of Real Estate Mutual Funds
Derwall, Jeroen - 2009
REITs exhibit a strong and prevalent momentum effect that is not captured by conventional factor models. This REIT momentum anomaly hampers proper judgments about the performance of actively managed REIT portfolios. In contrast, a REIT momentum factor adds incremental explanatory power to...
Persistent link: https://www.econbiz.de/10013155812
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Do consumption-based asset pricing models explain return predictability?
Marquering, Wessel A. - In: Applied financial economics 16 (2006) 14, pp. 1019-1027
Persistent link: https://www.econbiz.de/10003377861
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The economic value of predicting stock index returns and volatility
Marquering, Wessel A. (contributor);  … - 2000
Persistent link: https://www.econbiz.de/10001528578
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The economic value of predicting stock index returns and volatility
Marquering, Wessel A.; Verbeek, Marno - 2000
Persistent link: https://www.econbiz.de/10001522477
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Seasonal predictability of stock market returns
Marquering, Wessel A. - In: Tijdschrift voor economie en management 47 (2002) 4, pp. 557-576
Persistent link: https://www.econbiz.de/10001781123
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Modeling the conditional covariance between stock and bond returns : a multivariate GARCH approach
Goeij, Peter de (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001639402
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Do macroeconomic announcements cause asymmetric volatility
Goeij, Peter de (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001901531
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Is it the weather?
Jacobsen, Ben (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002496873
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Modeling the conditional covariance between stock and bond returns : a multivariate GARCH approach
Goeij, Peter de; Marquering, Wessel A. - In: Journal of financial econometrics : official journal of … 2 (2004) 4, pp. 531-564
Persistent link: https://www.econbiz.de/10002349838