Overreaction in the REITs Market: New Evidence from Quantile Autoregression Approach

Overreaction in the REITs Market: New Evidence from Quantile Autoregression Approach

Real estate investment trusts (REITs) provide portfolio diversification and tax benefits, a stable stream of income, and inflation hedging to investors. This study employs a quantile autoregression model to investigate the dependence structures of REITs’ returns across quantiles and return frequenci...

Full description

Bibliographic Details
Main Authors: Geoffrey M. Ngene, Catherine Anitha Manohar, Ivan F. Julio
Format: Article
Language:English
Published: MDPI AG 2020-11-01
Series:Journal of Risk and Financial Management
Subjects:
EREIT
MREIT
quantile
dependence
overreaction
autoregression
Online Access:https://www.mdpi.com/1911-8074/13/11/282

Internet

https://www.mdpi.com/1911-8074/13/11/282

Similar Items