Are Securitized Real Estate Returns more Predictable than Stock Returns?

Camilo Serrano and Martin Hoesli
Additional contact information
Camilo Serrano: University of Geneva (HEC),

No 08-27, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: This paper examines whether the predictability of securitized real estate returns differs from that of stock returns. It also provides a cross-country comparison of securitized real estate return predictability. In contrast to most of the literature on this issue, the analysis is not based on a multifactor asset pricing framework as such analyses may bias the results. We use a time series approach and thus create a level playing field to compare the predictability of the two asset classes. Forecasts are performed with ARMA and ARMA-EGARCH models and evaluated by comparing the entire empirical distributions of prediction errors, as well as with a trading strategy. The results, based on daily data for the 1990-2007 period, show that securitized real estate returns are generally more predictable than stock returns in countries with mature and well established REIT regimes. ARMA-EGARCH models are found to have portfolio outperformance potential even in the presence of transaction costs, with generally better results for securitized real estate than for stocks.

Keywords: Predictability; Time Series Models; ARMA-EGARCH; REITs; Securitized Real Estate (search for similar items in EconPapers)
JEL-codes: C22 C53 G15 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2008-09
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1273514 (application/pdf)

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:chf:rpseri:rp0827

Access Statistics for this paper

More papers in Swiss Finance Institute Research Paper Series from Swiss Finance Institute Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().