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Assessing the real estate pricing puzzle : a diagnostic application of the stochastic discounting factor to the distribution of REIT returns

Downs, David H. - In: The journal of real estate finance and economics 20 (2000) 2, pp. 155-175

Persistent link: https://www.econbiz.de/10001498667

Forecasting the Value-at-Risk of REITs using realized volatility jump models

Odusami, Babatunde Olatunji - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10013186421

Testing for evidence of nonlinear structure in Australian real estate market returns

Newell, Graham; Peat, Maurice; Stevenson, Maxwell John - 1996

Persistent link: https://www.econbiz.de/10000985881

Modelling uncertain operational cash flows of real estate investments using simulations of stochastic processes

Pfnür, Andreas; Armonat, Stefan - In: Journal of property investment & finance 31 (2013) 5, pp. 481-501

Persistent link: https://www.econbiz.de/10009790273

Do REITs outperform stocks and fixed-income assets? : new evidence from mean-variance and stochastic dominance approaches

Chiang, Thomas C.; Hooi Hooi Lean; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 1 (2008) 1, pp. 1-40

This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first-order stochastic dominance and no arbitrage opportunity...

Persistent link: https://www.econbiz.de/10011556251