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Performance Identification for REITs by Using Draw Measures

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Author Info

  • Michael Stein

    ()
    (Institute for Business and Economic Studies, Financial Market Econometrics, University of Duisburg-Essen)

  • Svetlozar T. Rachev

    ()
    (Department of Applied Mathematics & Statistics, Stony Brook University)

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    Abstract

    We use existing drawdown measures as well as modifications and extensions to gain insight into pronounced periods of gains and losses among global real estate companies. While there is no indication on heavier loss periods for companies that had experienced higher drawups in the previous market upturn, it appears that companies which fell the most during the recent crisis experienced larger upward phases in the following period.

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    File URL: http://www.umac.mo/fba/irer/papers/current/vol16n3_pdf/01.pdf
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    Bibliographic Info

    Article provided by Asian Real Estate Society in its journal International Real Estate Review.

    Volume (Year): 16 (2013)
    Issue (Month): 3 ()
    Pages: 230-251

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    Handle: RePEc:ire:issued:v:16:n:03:2013:p:230-251

    Contact details of provider:
    Postal: Asia Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA
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    Web page: http://www.asres.org/

    Order Information:
    Postal: Asian Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA
    Email:
    Web: http://www.asres.org/

    Related research

    Keywords: Maximum Drawdown; Conditional Drawdown; Drawup; Real Estate Stocks;

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