Firm Market Performance and Volatility in a National Real Estate Sector

Marcelo Bianconi and Joe Yoshino

International Review of Economics & Finance, 2012, vol. 22, issue 1, 230-253

Abstract: We present empirical evidence using daily data for stock prices for 17 real estate companies traded in the Sao Paulo, Brazil stock exchange, from August 26, 2006 to March 31, 2010. We use the U.S. house price bubble, financial crisis and risk measures to instrument for momentums and reversals in the domestic real estate sector. We find evidence of conditional premium persistence and conditional volatility persistence in the market. We find that the conditional risk-return relationship in the sector is consistent with the prospect theory of risk attitudes in this period. Certain companies seem to be operating on a perceived potential industry return above the target, while most others are below the target, and the whole sector is below target on average.

Keywords: Risk-return tradeoff; National real estate market; Momentum; Reversal (search for similar items in EconPapers)
JEL-codes: G10 G14 O54 R30 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:22:y:2012:i:1:p:230-253

DOI: 10.1016/j.iref.2011.11.002

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