Uncertainty due to infectious diseases and forecastability of the realized variance of United States real estate investment trusts: A note

نویسندگان

چکیده

We examine the forecasting power of a daily newspaper-based index uncertainty associated with infectious diseases (EMVID) for real estate investment trusts (REITs) realized market variance United States (US) via heterogeneous autoregressive volatility (HAR-RV) model. Our results show that EMVID improves forecast accuracy REITs at short-, medium-, and long-run horizons in statistically significant manner, result being robust to inclusion additional controls (leverage, jumps, skewness, kurtosis) capturing extreme movements, also carries over 10 sub-sectors US market. have important portfolio implications investors during current period unprecedented levels resulting from outbreak COVID-19.

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ژورنال

عنوان ژورنال: International Review of Finance

سال: 2021

ISSN: ['1468-2443', '1369-412X']

DOI: https://doi.org/10.1111/irfi.12357