dc.contributor.author |
Akinsomi, Kola
|
|
dc.contributor.author |
Aye, Goodness Chioma
|
|
dc.contributor.author |
Babalos, Vassilios
|
|
dc.contributor.author |
Economou, Fotini
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.date.accessioned |
2016-04-26T11:30:33Z |
|
dc.date.issued |
2016-11 |
|
dc.description.abstract |
In this paper we examine the real estate returns predictability employing US Real Estate Investment Trusts (REITs) and a set of possible predictors for the period January 1991 to December 2014. To this end we employ several forecasting models to test for REITs predictability under a flexible framework that captures parameter instability. Apart from the traditional factors examined in relevant studies, we also account for a series of sentiment and uncertainty indicators that may be significant predictors of REITs returns, especially during turbulent times when sentiment determines investment decisions to a greater extent. The empirical results indicate that the good predictors of REITs returns vary over time and over the forecast horizons. Our results suggest that economy-wide indicators, monetary policy instruments and sentiment indicators are among the most powerful predictors of REITs returns. In economic terms an investment strategy that is based on our forecasts outperforms a buy and hold strategy. The issue of the most suitable forecasting method is also discussed in detail. Our results might entail implications for investors and market authorities. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2017-11-30 |
|
dc.description.librarian |
hb2016 |
en_ZA |
dc.description.uri |
http://link.springer.com/journal/181 |
en_ZA |
dc.identifier.citation |
Akinsomi, K, Aye, GC, Babalos, V, Economou, F & Gupta, R 2016, 'Real estate returns predictability revisited : novel evidence from the US REITs market', Empirical Economics, vol. 51, no. 3, pp. 1165-1190. |
en_ZA |
dc.identifier.issn |
0377-7332 (print) |
|
dc.identifier.issn |
1435-8921 (online) |
|
dc.identifier.other |
10.1007/s00181-015-1037-5 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/52174 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Springer |
en_ZA |
dc.rights |
© Springer-Verlag Berlin Heidelberg 2016. The original publication is available at http://link.springer.comjournal/181. |
en_ZA |
dc.subject |
Real estate investment trust (REIT) |
en_ZA |
dc.subject |
Return predictability |
en_ZA |
dc.subject |
Dynamic model averaging |
en_ZA |
dc.subject |
Uncertainty indicator |
en_ZA |
dc.title |
Real estate returns predictability revisited : novel evidence from the US REITs market |
en_ZA |
dc.type |
Postprint Article |
en_ZA |