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Low‐frequency volatility of real estate securities and macroeconomic risk

Low‐frequency volatility of real estate securities and macroeconomic risk Real estate securities have distinct characteristics that differentiate them from stocks generally. Key amongst them is that underpinning the firms are both real and investment assets. Therefore, the connections between the underlying macroeconomy and listed real estate firms are of heightened importance. To consider the linkages with macroeconomic fundamentals, we extract the ‘low‐frequency’ volatility component from aggregate volatility shocks in 11 international securitised real estate markets using Engle and Rangel's (2008) Spline‐GARCH model. The analysis reveals that the low‐frequency volatility of real estate securities has strong and positive association with most of the macroeconomic risk proxies examined. Differences between real estate securities and common stocks have also been identified. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Accounting & Finance Wiley

Low‐frequency volatility of real estate securities and macroeconomic risk

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References (98)

Publisher
Wiley
Copyright
Accounting and Finance © 2018 AFAANZ
ISSN
0810-5391
eISSN
1467-629X
DOI
10.1111/acfi.12288
Publisher site
See Article on Publisher Site

Abstract

Real estate securities have distinct characteristics that differentiate them from stocks generally. Key amongst them is that underpinning the firms are both real and investment assets. Therefore, the connections between the underlying macroeconomy and listed real estate firms are of heightened importance. To consider the linkages with macroeconomic fundamentals, we extract the ‘low‐frequency’ volatility component from aggregate volatility shocks in 11 international securitised real estate markets using Engle and Rangel's (2008) Spline‐GARCH model. The analysis reveals that the low‐frequency volatility of real estate securities has strong and positive association with most of the macroeconomic risk proxies examined. Differences between real estate securities and common stocks have also been identified.

Journal

Accounting & FinanceWiley

Published: Nov 1, 2018

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