The response of sub-sector REIT returns to shocks in fundamental state variables
AbstractUsing monthly data from 1994:01 to 2005:03, the results from vector autoregressive models and generalized impulse response analysis indicate that unexpected shocks in industrial production, inflation, term structure, default risk, and the federal funds rate have virtually no statistically significant impact on sub-sector REIT returns.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 2 (2006)
Issue (Month): 2 (March)
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