Analysis of portfolio diversification between REIT assets

Date

2014-03-15

Author

Kestel, Sevtap Ayşe

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

144
views

0
downloads

REIT assets have gained recognizable attention in capital markets in recent decades and their development in time speaks of the impact of interaction among portfolios of REITs assets. This paper aims to analyze cointegration structure between and within different types of REITs and investigate the influence of cointegrated assets on portfolio indicators. A portfolio-optimization analysis is done based on the bivariate relationship among asset prices for the years 1995-2008. Uni and bidirectional causalities among selected REIT assets are studied comparatively under cointegrated and no-cointegrated assumptions and the mean-variance frontiers are analyzed to observe the impact of association by also taking into account the influence of the pre-subprime crisis. (C) 2013 Elsevier By. All rights reserved.

Subject Keywords

REIT, Cointegration, Short-run and long-run portfolio analysis, Mean-variance frontiers

URI

https://hdl.handle.net/11511/31505

Journal

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

DOI

https://doi.org/10.1016/j.cam.2013.08.030

Collections

Graduate School of Applied Mathematics, Article

Suggestions

OpenMETU
Core

EXAMINATION OF BOND RISK PREMIA FROM THE BANKING PERSPECTIVE Orhan, Selim; Danışoğlu, Seza; Department of Financial Mathematics (2022-5-10) Banks are considered as the marginal and sophisticated investors of financial markets. This is evident in the Haddad and Sraer (2020) study that examines the US government bond excess returns. This study extends the Haddad/Sraer analysis to the Turkish government bond market. According to the forecasting results, exposure ratio provides explanatory power over bond excess returns, especially for longer maturities. On the other hand, output gap and industrial growth present strong in-sample forecasting power ...
Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model Gaygısız Lajunen, Esma; Hekimoglu, Alper (2021-12-01) Liquidity is extremely important not only within the context of financial markets but also in every scale of economic transactions. In this study, within the realm of financial markets, we configure liquidity as an independent stochastic process moderating the fluidity of all transactions and hence dynamically changing asset values. This study's asset value process ignoring liquidity is modelled with a stochastic volatility jump-diffusion (SVJ) model and that model is augmented with the incorporation of a l...
The Impact of Large Investors on the Portfolio Optimization of Single-Family Houses in Housing Markets Yılmaz, Bilgi; Korn, Ralf; Kestel, Sevtap Ayşe (2022-02-01) As a consequence of the real estate market crash after 2008, large investors invested a significant amount of wealth into single-family houses to construct a portfolio of rental dwellings, whose income is securitized in the capital. In some local housing markets, these investors own remarkable numbers of single-family houses. Furthermore, their trading activities have resulted in a new investment strategy, which exacerbates property wealth concentration and polarization. This new investment strategy and its...
Tracking the Evolution of Idiosyncratic Risk and Cross-Sectional Expected Returns for US REITs Cakici, Nusret; Erol, Işıl; Tirtiroglu, Dogan (Springer Science and Business Media LLC, 2014-04-01) This paper adopts the methodology in Bali and Cakici (Journal of Financial & Quantitative Analysis, 43, 29-58, 2008) in tracking the evolution of the relation between equity REITs' idiosyncratic risk and their cross-sectional expected returns between 1981 and 2010. In addition to the full sample period, we study this relation for (i) January 1981-December 1992, (ii) January 1993-September 2001, (iii) November 2001-August 2008 and (iv) November 2001-December 2010 and produce empirical results for (i) all sam...
Information Producers and Valuation: Evidence from Real Estate Markets Downs, David H.; Güner, Zehra Nuray (Springer Science and Business Media LLC, 2012-01-01) This paper examines valuation and its relation to information production by licensed appraisers across real estate markets. The testable implications are discussed for either a peer monitoring or a crowding out effect in the data. The empirical model is estimated with data for all 50 US states and DC covering the sample period from 1999 to 2008. While analysis is primarily cross-sectional and not causal, the evidence is consistent with theory stating that the minimum quality associated with residential lice...

Citation Formats

S. A. Kestel, “Analysis of portfolio diversification between REIT assets,” JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, pp. 425–433, 2014, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/31505.