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Option strategies and market signals : do they add value to equity portfolios?

Blanc, Sylvestre; Fragnière, Emmanuel; Naya, Francesc; … - In: FinTech 4 (2025) 2, pp. 1-15

This study explores an innovative approach to incorporating option strategies into equity portfolios. It presents an alternative direction that institutional investors could take to overcome their current challenges, in a context where traditionally diversified portfolios of only equity and...

Persistent link: https://www.econbiz.de/10015432859

Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables

SERRANO, Camilo; HOESLI, Martin - 2009

Securitized real estate returns have traditionally been forecasted using economic variables. However, no consensus exists regarding the variables to use. Financial and real estate factors have recently emerged as an alternative set of variables useful in forecasting securitized real estate...

Persistent link: https://www.econbiz.de/10005258360

Empirical analysis of the illiquidity premia of German real estate securities

Paul, Thomas; Walther, Thomas; Küster-Simic, André - In: Financial Markets and Portfolio Management 36 (2021) 2, pp. 203-260

. To this end, we use a unique data set that includes real estate stocks, real estate investment trusts (REITs), and open … important role in expected returns for real estate stocks and investment trusts (REITs); however, it has less clear effects on …

Persistent link: https://www.econbiz.de/10014501427

Reits' Growth Options and Asset Pricing Dynamics across Time

Tan, Cheng Wee; Tirtiroglu, Dogan; Tirtiroglu, Ercan - 2013

Our paper makes two empirical contributions on REITs' asset pricing over three sequential and mutually exclusive time … valuations of REITs. We develop a new approach to estimate the latter two betas and, to our knowledge, provide the first … factors of the Carhart model on REITs' portfolio returns. In each investigation, we clean out, when needed, the unprecedented …

Persistent link: https://www.econbiz.de/10010500235

Evidence of contagion in global REITs investment

Chang, Guang-Di; Chen, Chia-Shih - In: International Review of Economics & Finance 31 (2014) C, pp. 148-158

This study examines evidence of contagion in global REITs returns over 2006–2010 using daily REITs indices for 16 … countries. We apply a correlation coefficient analysis to determine whether between-country REITs return co-movements increase … global REITs returns with univariate country-specific value-at-risks and multivariate between-country contagion. Applying the …

Persistent link: https://www.econbiz.de/10010753284

Reits' Growth Options and Asset Pricing Dynamics across Time

Tan, Cheng Wee; Tirtiroglu, Dogan; Tirtiroglu, Ercan - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2013

Our paper makes two empirical contributions on REITs’ asset pricing over three sequential and mutually exclusive time … valuations of REITs. We develop a new approach to estimate the latter two betas and, to our knowledge, provide the first … factors of the Carhart model on REITs’ portfolio returns. In each investigation, we clean out, when needed, the unprecedented …

Persistent link: https://www.econbiz.de/10010608023

To VaR, or Not to VaR, That is the Question

Olkhov, Victor - 2021

We consider economic obstacles that limit the reliability and accuracy of value-at-risk (VaR). Investors who manage large market transactions should take into account the impact of the randomness of large trade volumes on predictions of price probability and VaR assessments. We introduce...

Persistent link: https://www.econbiz.de/10015213403

Volatility Depends on Market Trades and Macro Theory

Olkhov, Victor - 2024

We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval Δ and describe the dependences of market-based volatilities of price and return on the volatilities...

Persistent link: https://www.econbiz.de/10015213603

Can central bankers’ talk predict bank stock returns? A machine learning approach

Katsafados, Apostolos G.; Leledakis, George N.; … - 2024

We combine machine learning algorithms (ML) with textual analysis techniques to forecast bank stock returns. Our textual features are derived from press releases of the Federal Open Market Committee (FOMC). We show that ML models produce more accurate out-of-sample predictions than OLS...

Persistent link: https://www.econbiz.de/10015214576

Volatility Depend on Market Trades and Macro Theory

Olkhov, Victor - 2020

This paper presents probability distributions for price and returns random processes for averaging time interval Δ. These probabilities determine properties of price and returns volatility. We define statistical moments for price and returns random processes as functions of the costs and the...

Persistent link: https://www.econbiz.de/10015216164