Are Securitized Real Estate Returns more Predictable than Stock Returns?

Hoesli, Martin E.; Serrano, Camillo

doi:10.1007/s11146-008-9162-y

Scientific article

English

Are Securitized Real Estate Returns more Predictable than Stock Returns?

Contributors

Hoesli, Martin E.; Serrano, Camillo

Published in

Journal of real estate finance and economics, vol. 41, no. 2, p. 170-192

Collection

Open Access - Licence nationale Springer

Publication date

2010

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 ARMAand 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

UNIGE affiliation entities

Faculté d'économie et de management / Geneva Finance Research Institute

UNIGE research groups

Geneva Finance Research Institute (GFRI)

Citation (ISO format)

HOESLI, Martin E., SERRANO, Camillo. Are Securitized Real Estate Returns more Predictable than Stock Returns? In: Journal of real estate finance and economics, 2010, vol. 41, n° 2, p. 170–192. doi: 10.1007/s11146-008-9162-y

Article (Published version)

OA NATIONAL

Identifiers

PID : unige:78558
DOI : 10.1007/s11146-008-9162-y

Journal ISSN

0895-5638

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09/12/2015 08:13:00

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09/12/2015 08:13:00

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14/03/2023 23:57:38

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31/10/2024 02:15:24

Are Securitized Real Estate Returns more Predictable than Stock Returns?

Contributors

Published in

Collection

Publication date

Abstract

Keywords

UNIGE affiliation entities

UNIGE research groups

Citation (ISO format)

Main files (1)

Identifiers

Journal ISSN

Technical informations

Creation

First validation

Update

Status update

Last indexation