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REIT Stock Market Volatility and Expected Returns

Author

Listed:
  • Richard Chung
  • Scott Fung
  • James D. Shilling
  • Tammie X. Simmons–Mosley

Abstract

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Suggested Citation

  • Richard Chung & Scott Fung & James D. Shilling & Tammie X. Simmons–Mosley, 2016. "REIT Stock Market Volatility and Expected Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 44(4), pages 968-995, October.
    • Handle: RePEc:bla:reesec:v:44:y:2016:i:4:p:968-995
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    File URL: http://hdl.handle.net/10.1111/reec.2016.44.issue-4
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    Citations

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    Cited by:

    1. Jianfu Shen, 2021. "Distress Risk and Stock Returns on Equity REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 62(3), pages 455-480, April.
    2. George D. Cashman & David M. Harrison & Hainan Sheng, 2021. "Option Trading and REIT Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(1), pages 332-389, March.
    3. Cashman, George D. & Harrison, David M. & Sheng, Hainan, 2022. "Short sales, short risk, and return predictability in Asia-Pacific real estate markets," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    4. Chyi Lin Lee, 2017. "An examination of the risk-return relation in the Australian housing market," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 10(3), pages 431-449, June.
    5. Cao, Jie & Han, Bing & Song, Linjia & Zhan, Xintong, 2023. "Option price implied information and REIT returns," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 13-28.
    6. Odusami, Babatunde O., 2021. "Volatility jumps and their determinants in REIT returns," Journal of Economics and Business, Elsevier, vol. 113(C).
    7. Tosin B. Fateye & Oluwaseun D. Ajay & Cyril A. Ajay, 2021. "Modelling of Daily Price Volatility of South Africa Property Stock Market Using GARCH Analysis," AfRES 2021-013, African Real Estate Society (AfRES).
    8. Mohammad Sharik Essa & Evangelos Giouvris, 2023. "Fama–French–Carhart Factor-Based Premiums in the US REIT Market: A Risk Based Explanation, and the Impact of Financial Distress and Liquidity Crisis from 2001 to 2020," IJFS, MDPI, vol. 11(1), pages 1-39, January.

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