ARE SECURITIZED REAL ESTATE RETURNS MORE PREDICTABLE THAN STOCK RETURNS?

Camilo Serrano and Martin Hoesli

ERES from European Real Estate Society (ERES)

Abstract: This paper examines whether the predictability of securitized real estate returns differs from that of stock returns. It also provides a crosscountry comparison of securitized real estate return redictability. In contrast to most of the literature on this issue, the analysis is not based on a multifactor asset pricing framework as we deem that a univariate time series approach is more appropriate to compare the predictability of returns between two or more asset classes. Forecasts are performed with ARMA and ARMA-GARCH models. Such forecasts are evaluated by comparing the entire empirical distributions of prediction errors, as well as with a trading strategy. The results show that the predictability of securitized real estate and stock returns differs in some countries, even though these differences are not economically significant. Similar conclusions are reached when comparing the predictability of securitized real estate returns across countries.

JEL-codes: R3 (search for similar items in EconPapers)
Date: 2008-01-01
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://eres.architexturez.net/doc/oai-eres-id-eres2008-252 (text/html)

Related works:
Journal Article: Are Securitized Real Estate Returns more Predictable than Stock Returns? (2010)
Working Paper: Are Securitized Real Estate Returns more Predictable than Stock Returns? (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2008_252

Access Statistics for this paper

More papers in ERES from European Real Estate Society (ERES) Contact information at EDIRC.
Bibliographic data for series maintained by Architexturez Imprints ().