On REIT returns and (un-)expected inflation : empirical evidence based on Bayesian additive regression trees
| dc.contributor.author | Pierdzioch, Christian | |
| dc.contributor.author | Risse, Marian | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Nyakabawo, Wendy | |
| dc.date.accessioned | 2019-11-06T06:21:30Z | |
| dc.date.issued | 2019-09 | |
| dc.description.abstract | We use Bayesian Additive Regression Trees (BART) to study the comovement of REIT returns with expected and unexpected inflation. Our findings show that the two inflation components are not among the leading predictors of REIT returns in terms of their relative importance, but also that the marginal effects of the two inflation components for REIT returns changed over time. REIT returns exhibit an asymmetric response to unexpected inflation, a phenomenon mainly concentrated in the Greenspan era. | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.embargo | 2020-09-01 | |
| dc.description.librarian | hj2019 | en_ZA |
| dc.description.sponsorship | The German Science Foundation (Deutsche Forschungsgemeinschaft) | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/frl | en_ZA |
| dc.identifier.citation | Pierdzioch, C., Risse, M., Gupta, R. et al. 2019, 'On REIT returns and (un-)expected inflation : empirical evidence based on Bayesian additive regression trees', Finance Research Letters, vol. 30, pp. 160-169. | en_ZA |
| dc.identifier.issn | 1544-6123 (print) | |
| dc.identifier.issn | 1544-6131 (online) | |
| dc.identifier.other | 10.1016/j.frl.2018.09.010 | |
| dc.identifier.uri | http://hdl.handle.net/2263/72138 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2019 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 30, pp. 160-169, 2019. doi : 10.1016/j.frl.2018.09.010. | en_ZA |
| dc.subject | Bayesian additive regression trees (BART) | en_ZA |
| dc.subject | REIT returns | en_ZA |
| dc.subject | BART modeling | en_ZA |
| dc.subject | Inflation | en_ZA |
| dc.title | On REIT returns and (un-)expected inflation : empirical evidence based on Bayesian additive regression trees | en_ZA |
| dc.type | Postprint Article | en_ZA |