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Equilibrium Correlation of Asset Price and Return
Leung, Charles Ka Yui - Chinese University of Hong Kong, Department of Economics - 2005
Two empirical questions concerning the equity and housing have been studied extensively: (1) Are the price and return serially correlated, and (2) What is the optimal weight of housing in the portfolio? The answer to the second question crucially depends on the cross-correlation of assets. This...
Persistent link: https://www.econbiz.de/10005027457
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Equilibrium Correlations of Asset Price and Return
Leung, Charles - In: The Journal of Real Estate Finance and Economics 34 (2007) 2, pp. 233-256
Two empirical questions concerning the equity and housing have been studied extensively: (1) Are the price and return serially correlated, and (2) What is the optimal weight of housing in the portfolio? The answer to the second question crucially depends on the cross-correlation of assets. This...
Persistent link: https://www.econbiz.de/10005068218
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Agreement in Stock Selection by Following Fundamental and Technical Analysis on Nifty Stocks
Raval, Vishvesh H. - 2013
Merits of using fundamental research and technical research are different and these two different investment styles of investing in the stock market have its own following. The stock selection for investment portfolio which relies on the Fundamental Analysis have higher success rate than the...
Persistent link: https://www.econbiz.de/10013076862
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Predictability in securities price formation: differences between developed and emerging markets
Camilleri, Silvio John; Vassallo, Semiramis; Bai, Ye - In: Journal of capital markets studies 4 (2020) 2, pp. 146-166
returns for traces of predictability or non-randomness using variance ratio tests, Granger-Causality models and runs tests … inherent cause of predictability differs across groups. Research limitations/implications The authors present empirical … evidence which may be used to attain a deeper understanding of the links between predictability and market efficiency, in view …
Persistent link: https://www.econbiz.de/10012395371
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Housing and macroeconomics
Leung, Ka Yui - 2022
Until recently, the literature ignored the interactions between housing and macroeconomics. Thanks to many researchers' contributions, the macro-housing field is in development. This review complements previous research and highlights a few areas that have made significant progress lately. They...
Persistent link: https://www.econbiz.de/10014540386
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What broke first? Characterizing sources of structural change prior to the great recession
Hull, Isaiah - 2015
This paper identifies and characterizes episodes of structural change in the 27 years that preceded the Great Recession. This is done by performing Bai-Perron (2003a, 2003b) tests on 61,843 time series that span 34 countries, which collectively accounted for 81% of Gross World Product in 2013....
Persistent link: https://www.econbiz.de/10011442886
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What broke first? : characterizing sources of structural change prior to the great recession
Hull, Isaiah - 2015
This paper identifies and characterizes episodes of structural change in the 27 years that preceded the Great Recession. This is done by performing Bai-Perron (2003a, 2003b) tests on 61,843 time series that span 34 countries, which collectively accounted for 81% of Gross World Product in 2013....
Persistent link: https://www.econbiz.de/10011287551
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Understanding Residential Real Estate in China
Chivakul, Mali - 2015
China's residential real estate sector plays an important role in the economy and has been a key driver of growth. Since 2014 the sector has softened visibly, reflecting overbuilding across many cities. An orderly adjustment of the sector is welcome. The key questions are how severe the...
Persistent link: https://www.econbiz.de/10013022270
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The Granular Origins of House Price Volatility
Hull, Isaiah - 2018
Recent work has shown that microeconomic shocks at the firm and sector level account for a substantial share of output volatility. We examine whether this relationship holds for house price growth volatility, which also declined during the Great Moderation and increased after 2001. Using a novel...
Persistent link: https://www.econbiz.de/10012928702
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On the Price Comovement of U.S. Residential Real Estate Markets
Kallberg, Jarl G. - 2011
This study addresses the recent performance of the U.S. residential real estate markets. We investigate the comovement among Case-Shiller Home Price Indices for 14 metropolitan areas between 1992 and 2008. We identify the portion of this comovement deemed as fundamental (excessive), which we...
Persistent link: https://www.econbiz.de/10012714265