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Are Securitized Real Estate Returns more Predictable than Stocks Return?

Collection
  • Cahiers de recherche; 2008.08
Publication date2008
Abstract

This paper examines whether the predictability of securitized real estate returns differs from that of stock returns. It also provides a cross-country comparison of securitized real estate return predictability. In contrast to most of the literature on this issue, the analysis is not based on a multifactor asset pricing framework as such analyses may bias the results. We use a time series approach and thus create a level playing field to compare the predictability of the two asset classes. Forecasts are performed with ARMA and ARMA-EGARCH models and evaluated by comparing the entire empirical distributions of prediction errors, as well as with a trading strategy. The results, based on daily data for the 1990-2007 period, show that securitized real estate returns are generally more predictable than stock returns in countries with mature and well established REIT regimes. ARMA-EGARCH models are found to have portfolio outperformance potential even in the presence of transaction costs, with generally better results for securitized real estate than for stocks.

Keywords
  • Predictability
  • Time Series Models
  • ARMA-EGARCH
  • REITs
  • Securitized Real Estate
Citation (ISO format)
SERRANO, Camilo, HOESLI, Martin E. Are Securitized Real Estate Returns more Predictable than Stocks Return? 2008
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Identifiers
  • PID : unige:5718
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Creation04/15/2010 12:19:26 PM
First validation04/15/2010 12:19:26 PM
Update time03/14/2023 3:26:18 PM
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