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Behavior and predictability of securitized real estate returns

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Defense Thèse de doctorat : Univ. Genève, 2009 - SES 704 - 2009/11/03
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 EstateREITsForecastingMultifactor ModelsTime Series ModelsARMA-EGARCHFractional CointegrationFractionally Integrated Error Correction Model
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URN: urn:nbn:ch:unige-45728
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SERRANO MORENO, Camilo. Behavior and predictability of securitized real estate returns. Université de Genève. Thèse, 2009. https://archive-ouverte.unige.ch/unige:4572

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Deposited on : 2009-12-03

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