Low‐frequency volatility of real estate securities and macroeconomic risk
Chyi Lin Lee,
Simon Stevenson () and
Accounting and Finance, 2018, vol. 58, issue S1, 311-342
Real estate securities have distinct characteristics that differentiate them from stocks generally. Key amongst them is that underpinning the firms are both real and investment assets. Therefore, the connections between the underlying macroeconomy and listed real estate firms are of heightened importance. To consider the linkages with macroeconomic fundamentals, we extract the ‘low‐frequency’ volatility component from aggregate volatility shocks in 11 international securitised real estate markets using Engle and Rangel's (2008) Spline‐GARCH model. The analysis reveals that the low‐frequency volatility of real estate securities has strong and positive association with most of the macroeconomic risk proxies examined. Differences between real estate securities and common stocks have also been identified.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:acctfi:v:58:y:2018:i:s1:p:311-342
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0810-5391
Access Statistics for this article
Accounting and Finance is currently edited by Robert Faff
More articles in Accounting and Finance from Accounting and Finance Association of Australia and New Zealand Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().