Overreaction in the REITs market: New evidence from quantile autoregression approach

Real estate investment trusts (REITs) provide portfolio diversification and tax benefits, a stable stream of income, and inflation hedging to investors. This study employs a quantile autoregression model to investigate the dependence structures of REITs' returns across quantiles and return freq...

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Veröffentlicht in:	Journal of risk and financial management 2020-11, Vol.13 (11), p.1-28
Hauptverfasser:	Ngene, Geoffrey M, Manohar, Catherine Anitha, Julio, Ivan F
Format:	Artikel
Sprache:	eng
Schlagworte:	autoregression dependence Efficient markets EREIT Hypotheses Investments Mortgage backed securities MREIT overreaction quantile Rates of return Recessions Regression analysis Regulatory reform REITs
Online-Zugang:	Volltext
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