Are Securitized Real Estate Returns more Predictable than Stock Returns?
نویسندگان
چکیده
منابع مشابه
Is the Distribution of Stock Returns Predictable?∗
A large literature has considered predictability of the mean or volatility of stock returns but little is known about whether the distribution of stock returns more generally is predictable. We explore this issue in a quantile regression framework and consider whether a range of economic state variables are helpful in predicting different quantiles of stock returns representing left tails, righ...
متن کاملForecasting real estate returns using financial spreads
This paper examines the predictability of real estate asset returns using a number of time series techniques. A vector autoregressive model, which incorporates financial spreads, is able to improve upon the out of sample forecasting performance of univariate time series models at a short forecasting horizon. However, as the forecasting horizon increases, the explanatory power of such models is ...
متن کاملReal Options, Volatility, and Stock Returns
This paper provides evidence that the positive relation between firm-level stock returns and firm-level return volatility is due to real options that firms possess. Consistent with the theoretical prediction that the value of a real option should be increasing in the volatility of the underlying asset, we find that the positive volatility-return relation is much stronger for firms that are more...
متن کاملPricing When Underlying Stock Returns Are Discontinuous
The validity of the classic Black-Scholes option pricing formula dcpcnds on the capability of investors to follow a dynamic portfolio strategy in the stock that replicates the payoff structure to the option. The critical assumption required for such a strategy to be feasible, is that the underlying stock return dynamics can be described by a stochastic process with a continuous sample path. In ...
متن کاملCommercial Real Estate Prices and Stock Market Returns: An International Analysis∗
∗The authors gratefully acknowledge the support of the Real Estate Reseach Institiute. We would also like to thank Jones Lang Wootten, BoMa, FRC Canada and Morgan Stanley International for providing us with our data. An earlier version was presented at the 1996 Homer Hoyt meeting. The first author also benefitted from U. of Texas’s summer research grant.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Journal of Real Estate Finance and Economics
سال: 2008
ISSN: 0895-5638,1573-045X
DOI: 10.1007/s11146-008-9162-y