Performance Identification for REITs by Using Draw Measures

Michael Stein () and Svetlozar T. Rachev ()
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Michael Stein: Institute for Business and Economic Studies, Financial Market Econometrics, University of Duisburg-Essen
Svetlozar T. Rachev: Department of Applied Mathematics & Statistics, Stony Brook University

International Real Estate Review, 2013, vol. 16, issue 3, 230-251

Abstract: We use existing drawdown measures as well as modifications and extensions to gain insight into pronounced periods of gains and losses among global real estate companies. While there is no indication on heavier loss periods for companies that had experienced higher drawups in the previous market upturn, it appears that companies which fell the most during the recent crisis experienced larger upward phases in the following period.

Keywords: Maximum Drawdown; Conditional Drawdown; Drawup; Real Estate Stocks (search for similar items in EconPapers)
JEL-codes: L85 (search for similar items in EconPapers)
Date: 2013
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