Duration dependence in real estate investment trusts
AbstractHazard models are used to test for duration dependence in the market for real estate investments trusts. Duration dependence implies an ability to predict the turning points of a cycle. In a sense, these models attempt to predict the timing of mean reversion of the market indices. Since the only sample information used in these tests is the length of time between turning points of the cycle, this methodology avoids the more challenging task of modelling the quantitative values of the series, and should provide relatively robust results because of the relatively weak structure imposed on the estimation process. Empirical evidence of duration dependence is found for all samples except mortgage REIT expansions.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 16 (2006)
Issue (Month): 5 ()
Contact details of provider:
Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.