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- W2014406031 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." @default.
- W2014406031 created "2016-06-24" @default.
- W2014406031 creator A5014364280 @default.
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- W2014406031 date "2008-06-18" @default.
- W2014406031 modified "2023-09-26" @default.
- W2014406031 title "ARE SECURITIZED REAL ESTATE RETURNS MORE PREDICTABLE THAN STOCK RETURNS?" @default.
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- W2014406031 doi "https://doi.org/10.15396/eres2008_252" @default.
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