We propose newly developed unsmoothing techniques for appraisal-based real estate returns based on a regime …-switching Threshold Autoregressive (TAR) model. We show that when true returns follow a TAR process, conventional linear autoregressive … technique are misspecified and underestimate true variance. Two exogenous variables, equity returns and GDP growth, outperform …

significant value effect exists, while no small-size effect is present. Real estate equity returns vary significantly with the … excess market return and a pan-European value factor. Moreover, returns are driven by a systematic size factor, although this …

returns and increased volatility on the UK stock market. …

different lexica sentiment variables. These are employed for an analysis of stock reactions: volatility, volume and returns. An … increased (negative) sentiment will influence volatility as well as volume. This influence is contingent on the lexical … produce stock reaction indicators, including volatility, detrended log trading volume and return? (ii) To which degree is …

This article investigates returns and volatility linkages among stock markets, including emerging Asian (e.g., India … unexpected shocks. The evidence suggests that both the returns and volatility linkages exist between the emerging Asia and the …, China, Bangladesh, Malaysia, Philippine, and South Korea) stock markets and developed (e.g., United States, United Kingdom …

market level and sector level analyses, examines the sensitivity of Malaysian stock returns to oil price fluctuations over … (FTSE KLCI) market return. Consumer staples and energy sector index returns were also positively affected by oil price …