Economic benefits and determinants of extreme dependences between REIT and stock returns

Economic benefits and determinants of extreme dependences between REIT and stock returns The study delivers new implications for risk management and asset allocation by investigating extreme dependences between real estate investment trust (REIT) and stock returns, where ‘extreme dependences’ refer to cross-asset linkages during extraordinary periods. It primarily differentiates itself from prior studies in three respects. First, it examines the role of asymmetric extreme dependences in establishing an optimal investment portfolio during the 2000–2010 period. Second, it provides an economic evaluation of REIT-stock extreme dependences by considering out-of-sample switching fees and break-even transaction costs. Third, it explores the determinants of REIT-stock extreme dependence dynamics during the recent housing boom-and-bust period, which is divided into the housing-boom (pre-break) and housing-bust (post-break) subsamples by the breakpoint of July 31, 2007. The findings demonstrate that the proposed dynamic strategies are superior to a naïve one due to positive break-even transaction costs, and the evaluation results suggest that investors benefit from taking extreme dependences into consideration. It further shows that investors benefit from switching asset holdings from REITs to stocks after the mid-2009, the ending of the recent recession. Except for the illiquidity index, many determinants display weaker explanatory powers of REIT-stock tail dependences in the housing bust than the housing boom. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Economic benefits and determinants of extreme dependences between REIT and stock returns

Loading next page...
 
/lp/springer_journal/economic-benefits-and-determinants-of-extreme-dependences-between-reit-4SboLZ3Orb
Publisher
Springer US
Copyright
Copyright © 2013 by Springer Science+Business Media New York
Subject
Economics / Management Science; Finance/Investment/Banking; Accounting/Auditing; Econometrics; Operations Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1007/s11156-013-0407-3
Publisher site
See Article on Publisher Site

References

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 12 million articles from more than
10,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Unlimited reading

Read as many articles as you need. Full articles with original layout, charts and figures. Read online, from anywhere.

Stay up to date

Keep up with your field with Personalized Recommendations and Follow Journals to get automatic updates.

Organize your research

It’s easy to organize your research with our built-in tools.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

Monthly Plan

  • Read unlimited articles
  • Personalized recommendations
  • No expiration
  • Print 20 pages per month
  • 20% off on PDF purchases
  • Organize your research
  • Get updates on your journals and topic searches

$49/month

Start Free Trial

14-day Free Trial

Best Deal — 39% off

Annual Plan

  • All the features of the Professional Plan, but for 39% off!
  • Billed annually
  • No expiration
  • For the normal price of 10 articles elsewhere, you get one full year of unlimited access to articles.

$588

$360/year

billed annually
Start Free Trial

14-day Free Trial