Doctoral thesis
OA Policy
English

Behavior and predictability of securitized real estate returns

Defense date2009-11-03
Abstract

Consisting of three essays, the dissertation is motivated by some existing gaps in the financial real estate literature. First, we exploit the fact that no research has used the well documented hybrid nature of real estate securities to forecast its returns. Second, we propose the first 'true' comparison of the predictability of securitized real estate and stock returns, as we argue that the previous comparisons done in the literature are biased. Third, we examine the long-run dynamics that govern the relationships between securitized real estate and the three models most commonly used to explain and forecast its returns. Our main findings suggest that the hybrid nature of real estate securities can be used to predict its returns, that securitized real estate returns are more predictable than stock returns in countries with well established REIT regimes, and that securitized real estate is fractionally cointegrated with both macroeconomic variables and the hybrid factors.

Keywords
  • Securitized Real Estate
  • REITs
  • Forecasting
  • Multifactor Models
  • Time Series Models
  • ARMA-EGARCH
  • Fractional Cointegration
  • Fractionally Integrated Error Correction Model
Citation (ISO format)
SERRANO MORENO, Camilo. Behavior and predictability of securitized real estate returns. Doctoral Thesis, 2009. doi: 10.13097/archive-ouverte/unige:4572
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Technical informations

Creation01/12/2009 14:16:00
First validation01/12/2009 14:16:00
Update time14/03/2023 15:19:16
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Last indexation13/05/2025 15:41:06
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