Volatilities and Momentum Returns in Real Estate Investment Trusts

Szu-Yin Hung () and John Glascock

The Journal of Real Estate Finance and Economics, 2010, vol. 41, issue 2, 126-149

Keywords: Idiosyncratic volatility; Asymmetric volatility; Liquidity risk; REITs; Momentum trading strategy; GARCH-in-mean model (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

Downloads: (external link)
http://hdl.handle.net/10.1007/s11146-008-9165-8 (text/html)
Access to full text is restricted to subscribers.

Related works:
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:kap:jrefec:v:41:y:2010:i:2:p:126-149

Ordering information: This journal article can be ordered from
http://www.springer. ... ce/journal/11146/PS2

DOI: 10.1007/s11146-008-9165-8

Access Statistics for this article

The Journal of Real Estate Finance and Economics is currently edited by Steven R. Grenadier, James B. Kau and C.F. Sirmans

More articles in The Journal of Real Estate Finance and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().