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  • REIT Stock Market Volatility and Expected Returns

    Author(s)
    Chung, Richard
    Fung, Scott
    Shilling, James D
    Simmons-Mosley, Tammie X
    Griffith University Author(s)
    Chung, Richard Yiu-Ming
    Year published
    2016
    Metadata
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    Abstract
    We study the relation between REIT stock volatility and future returns, focusing particularly on the financial crisis period of 2007–2009. There is ongoing debate about whether stock volatility can forecast future returns. Our findings suggest that REIT‐implied volatility is negatively related to contemporaneous stock returns; there is a significant positive relationship between REIT implied volatility and future stock volatility; and there is a significant negative relation between REIT implied volatility and future stock returns. Lastly, we develop trading rules based on REIT implied volatility to test whether these ...
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    We study the relation between REIT stock volatility and future returns, focusing particularly on the financial crisis period of 2007–2009. There is ongoing debate about whether stock volatility can forecast future returns. Our findings suggest that REIT‐implied volatility is negatively related to contemporaneous stock returns; there is a significant positive relationship between REIT implied volatility and future stock volatility; and there is a significant negative relation between REIT implied volatility and future stock returns. Lastly, we develop trading rules based on REIT implied volatility to test whether these relationships are exploitable. The result suggests a potentially profitable trading strategy.
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    Journal Title
    Real Estate Economics
    DOI
    https://doi.org/10.1111/1540-6229.12128
    Subject
    Urban and regional planning
    Applied economics
    Applied economics not elsewhere classified
    Publication URI
    http://hdl.handle.net/10072/99705
    Collection
    • Journal articles

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