Eres : Digital Library : Works

Paper eres2014_112:
Dynamic REITs Style Analysis with Errors-in-Variables: New Insights

id eres2014_112
authors Coen, Alain; Pierre-Arnaud Drouhin
year 2014
title Dynamic REITs Style Analysis with Errors-in-Variables: New Insights
source 21st Annual European Real Estate Society Conference in Bucharest, Romania
summary In this paper, our aim is to shed a new light on the analysis of REITs in the presence of time-varying exposures and errors-in-variables (EIV). From different multi-factor asset pricing models including the standard Fama-French-Carhart asset pricing model and the Pastor and Stambaugh model, we use the Kalman filter and show evidence of EIV in the dynamic factor loadings. Our approach revisits the dynamic return-based style analysis in the REITs industry in USA, UK and Canada. Our promising results clearly report significant improvement of factor loadings and an increase of the accuracy of the return risk sources for eight REITs styles.
series ERES:conference
email coen.alain@uqam.ca
more http://library.eres.org/cgi-bin/rsa98.pl?conf=ERES2014&type=session&theme=P &slot=2770
discussion No discussions. Post discussion ...
ratings
session P : Real Estate Portfolio Management
last changed 2014/10/21 21:51
HOMELOGIN (you are user _anon_872414 from group guest) Powered by SciX Open Publishing Services 1.002