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Performance Identification for REITs by Using Draw Measures

Author

Listed:
  • 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)

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.

Suggested Citation

  • Michael Stein & Svetlozar T. Rachev, 2013. "Performance Identification for REITs by Using Draw Measures," International Real Estate Review, Asian Real Estate Society, vol. 16(3), pages 230-251.
  • Handle: RePEc:ire:issued:v:16:n:03:2013:p:230-251
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    More about this item

    Keywords

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

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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