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Duration dependence in real estate investment trusts

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  • James Payne
  • Thomas Zuehlke

Abstract

Hazard 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.

Suggested Citation

  • James Payne & Thomas Zuehlke, 2006. "Duration dependence in real estate investment trusts," Applied Financial Economics, Taylor & Francis Journals, vol. 16(5), pages 413-423.
  • Handle: RePEc:taf:apfiec:v:16:y:2006:i:5:p:413-423
    DOI: 10.1080/09603100500391099
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    Cited by:

    1. Lee, Chien-Chiang & Lee, Cheng-Feng & Lee, Chi-Chuan, 2014. "Asymmetric dynamics in REIT prices: Further evidence based on quantile regression analysis," Economic Modelling, Elsevier, vol. 42(C), pages 29-37.

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