Show simple item record

dc.contributor.authorChung, Richard
dc.contributor.authorFung, Scott
dc.contributor.authorShilling, James D
dc.contributor.authorSimmons-Mosley, Tammie X
dc.date.accessioned2019-03-31T22:18:52Z
dc.date.available2019-03-31T22:18:52Z
dc.date.issued2016
dc.identifier.issn1080-8620
dc.identifier.doi10.1111/1540-6229.12128
dc.identifier.urihttp://hdl.handle.net/10072/99705
dc.description.abstractWe 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.
dc.description.peerreviewedYes
dc.languageEnglish
dc.publisherWiley
dc.relation.ispartofpagefrom1
dc.relation.ispartofpageto28
dc.relation.ispartofjournalReal Estate Economics
dc.subject.fieldofresearchApplied Economics not elsewhere classified
dc.subject.fieldofresearchUrban and Regional Planning
dc.subject.fieldofresearchApplied Economics
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchcode140299
dc.subject.fieldofresearchcode1205
dc.subject.fieldofresearchcode1402
dc.subject.fieldofresearchcode1502
dc.titleREIT Stock Market Volatility and Expected Returns
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.hasfulltextNo Full Text
gro.griffith.authorChung, Richard Yiu-Ming


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

  • Journal articles
    Contains articles published by Griffith authors in scholarly journals.

Show simple item record