This article examines real estate investment trusts (REITs) to determine the correspondence between short interest and subsequent prices. The theoretical basis for our tests comes from the overvaluation conditions created by a combination of costly ...

Excerpt: “… This article attempts to provide some clarity to the challenges facing international real estate markets and how the changing nature of this industry has made real estate more sensitive to these global crises… ...

This study examines the influence of macroeconomic risk factors upon Real Estate Investment Trusts (REITs) that invest in distinct types of properties that represent different economic sectors. Although several studies have explored the impact that ...

REIT return data prior to the new REIT era offer important asset pricing information. At issue is whether empiricists should focus attention on returns series covering only the new period. We use a generalized asset ...

REIT return data prior to the new REIT era offer important asset pricing information. At issue is whether empiricists should focus attention on returns series covering only the new period. We use a generalized asset ...

In this paper, we examine the predictability of the cross-section of bank stock returns by taking advantage of the unique set of industry characteristics that prevail in the financial services sector. We examine predictability in ...

Excerpt: “…This article explores how real estate investment trusts (REITs) may offer profitable options that are not closely linked to the performance of the U.S. equity markets. Specifically, we observe how REIT returns respond differently ...

This study examined the behavior of return volatility in relation to the timing of information flow under different market conditions influenced by trading volume and market depth. We emphasized information flow during trading and nontrading ...

This article examines the relation between systematic price changes and the heterogeneity of investors' information sets in real estate asset markets. The empirical implications rely on a theoretical economy in which information asymmetry alters the ...

This article examines the relation between the distribution of capital to real estate investors and a market-based measure of information asymmetry. Previous research suggests that information asymmetries decrease as capital is distributed to outside investors. ...

Numerous studies have examined trading strategies that seek to exploit price reversal behaviors in the U.S. stock market. The evidence to date suggests that taking a long position in U.S. stocks with negative returns (losers) ...

Anecdotal evidence provides overwhelming support to the belief that sophisticated real estate investors profit by timing long-run real estate cycles. This article examines the investment performance benefits that sophisticated investors may derive from short-run cycles ...

This study examines the dynamic interactions among return volatilities, volume, and market depth for five currency futures markets. We use vector autoregressive analysis (VAR) to identify not only the nature of these relations but also ...

This paper examines the volatility transmission across different currency markets during trading and non-trading periods. Using vector autoregressive analysis (VAR), we find similar patterns between information flows during trading and non-trading hours of the US ...

Using industry and by-line data, we examine the causes of insurance cycles in a vector autoregressive model. Some of the important findings are summarized below. First, the uncertainty variable explains significant portions of forecast errors ...

The real estate market has evolved significantly over the past 10 years and has experienced rapid growth throughout the world in its various forms. Many emerging countries witnessed the significant growth in their commercial real ...

Real estate represents a significant form of investment throughout the world that is sometimes overshadowed by the stock and bond markets. Investments in real estate once focused on direct investments in land and developed properties, ...

This paper evaluates the relation between publicly traded real estate returns and short interest levels. The sample is comprised of NYSE-traded Real Estate Investment Trusts (REITs) covering the period from 1990 through 2005. The data ...