Real Estate in an ALM Framework - The Case of Return Predictability

2008 ◽  
Author(s):  
Melissa Porras Prado ◽  
Marno Verbeek
Keyword(s):  
Real Estate ◽  
Return Predictability

International Real Estate Review

2007 ◽  
Vol 10 (2) ◽  
pp. 23-41
Author(s):  
Ping Cheng ◽  
◽  
Stephen E. Roulac ◽  
Keyword(s):  
Risk Factors ◽  
Real Estate ◽  
Return Predictability ◽  
Multifactor Model ◽  
Model Based ◽  
Specific Factors ◽  
High Consistency ◽  
The Relationship

This paper examines the relationship between return predictability and REIT characteristics. We build a multifactor model based on a set of firm-specific factors that include (1) Risk factors; (2) Liquidity factors; (3) Expensiveness; (4) Profitability; and (5) Return history. Our model demonstrates the capability of predicting the “winners” and the “losers,” with fairly high consistency. Given the large return differences uncovered by the model, and the fundamental characteristics of the “winners” versus the “losers,” it is unlikely that strong results are artifacts of a biased methodology.

scholarly journals ARE MARKETS ADAPTIVE? EVIDENCE OF PREDICTABILITY AND MARKET EFFICIENCY OF LODGING/RESORT REITS

2020 ◽  
Vol 24 (2) ◽  
pp. 130-139 ◽  
Author(s):  
Fahad Almudhaf ◽  
Ramya Rajajagadeesan Aroul ◽  
J. Andrew Hansz
Keyword(s):  
Real Estate ◽  
Moving Average ◽  
Return Predictability ◽  
Spectral Shape ◽  
Time Varying ◽  
Variance Ratio ◽  
Real Estate Investment ◽  
Sharpe Ratios ◽  
Martingale Hypothesis ◽  
Rolling Windows

We investigate the degree of return predictability of lodging/resort real estate investment trusts (REITs) from January 1994 to May 2016. We test the Martingale hypothesis by using linear (automatic portmanteau and automatic variance ratio with rolling windows) and nonlinear tests (generalized spectral shape tests and Dominguez-Lobato consistent tests). Our findings support the Adaptive Market Hypothesis (AMH) and reveal that returns experience periods of both dependence and independence. We document time-varying predictability of lodging/resort REITs with returns as both initially predictable and subsequently unpredictable throughout the majority of the period of analysis. Moreover, we find that if traders use simple technical trading moving average rules, they can capitalize on the inefficiencies of lodging/resort REITs. Finally, we observe that absolute returns and Sharpe ratios of technical moving average rules outperform a simple buy-and-hold strategy.

Real Estate Fraud

2008 ◽  
Author(s):  
Daniel Bradley
Keyword(s):  
Real Estate
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