Time-varying correlation between stock market returns and real estate returns
β Scribed by Richard Heaney; Sivagowry Sriananthakumar
- Book ID
- 116641843
- Publisher
- Elsevier Science
- Year
- 2012
- Tongue
- English
- Weight
- 823 KB
- Volume
- 19
- Category
- Article
- ISSN
- 0927-5398
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract Appraisal smoothing understates the true volatility of real estate returns, and consequently affects asset allocation decisions. The high level of smoothing observed in commercial property index returns can be shown to be largely influenced by the effect of serial crossβcorrelation. Thi
This research examines the causal relationship between several financial variables and a portfolio of real estate returns using monthly data from January 1965 to December 1986. The empirical analysis is based on multivariate Granger-causality tests in conjunction with Akaike's final prediction error