REITs and the financial crisis: Empirical evidence from the U.S.

Basse, Tobias; Friedrich, Meik; Bea, Eduardo Vazquez

doi:10.5539/ijbm.v4n11p3

Cited by 26 publications

(23 citation statements)

References 27 publications

(5 reference statements)

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“…As it has been proposed inter alia by Basse et al (2009) as well as Sibbertsen et al (2014) we search for crisis related structural breaks within this simple relationship. We apply the Quandt Andrews test to the ARMA model presented above (see Andrews, 1993;Basse et al, 2009).…”

Section: Methodsmentioning

confidence: 99%

Interest rate forecasting and the financial crisis: a turning point in more than just one way

Kunze¹,

Gruppe²,

Wendler

2015

IJFERM

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Investors frequently rely on forecasts published by professional analysts. During the financial crisis uncertainty has substantially risen. Not surprisingly experts' predictions should be more than welcome for decision makers. After modelling the long-term relationship between the three month EURIBOR and the Consensus Economic forecast by using co-integration analysis this paper tests for changes in the accuracy of forecasts for the three month EURIBOR. We use traditional evaluation methods like sign accuracy tests, turning point analysis and the root mean square error (RMSE). We find evidence for a crisis related structural break. Checking for quality changes it can be stated that the forecasters' accuracy after the first months of the crisis is not much better in general. Furthermore, neither before nor after the structural break the analysts' forecasts did outperform a random prediction. But it can at least be stated that there is a significant improvement in the turning point prediction.

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Section: Methodsmentioning

confidence: 99%

Interest rate forecasting and the financial crisis: a turning point in more than just one way

Kunze¹,

Gruppe²,

Wendler

2015

IJFERM

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“…The implication was that securitized real estate and common stocks were substitutable assets over the long run and these assets may not be held together in a portfolio for diversification purpose. Basse et al (2009) investigated the relationship between REITs and utility stocks of the United States by considering structural breaks. They concluded that investing in U.S. REITs is risky because of the structural breaks due to the financial crisis.…”

Section: Previous Studiesmentioning

confidence: 99%

Co-Movements of Reit Indices With Structural Changes Before and During the Subprime Mortgage Crisis: Evidence From Euro-Med Markets

Mandaci

Aktan

Çağlı

2014

International Journal of Strategic Property Management

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ABSTRACT. This paper examines the long-run relationships between the REIT indices of the UK, Turkey and Israel in the Euro-Med zone with that of MSCI US REIT Index by using weekly data over the period 2003Q3 through 2009Q3, which includes the latest US subprime mortgage crisis and its effects on global stock markets. Although our EG test results do not indicate a long-run relationship, after taking account of the structural changes by applying the GH test, we find a long-run interaction between the REIT indices of UK and Israel with that of the US. However, our results indicate the lack of co-movement between REIT index of Turkey with the US. In addition, our dynamic OLS test results indicate a perfect relationship between the UK and the US indices. Our findings show that international investors who make long-term investments can only gain from diversifying into the real estate market of Turkey among the involved markets in the Euro-Med zone. KEYWORDS:Co-movements; REIT; EuroMed; US; Crisis REFERENCE to this paper should be made as follows: Evrim Mandaci, P.; Aktan, B.; Cagli, E. C. 2014. Co-movements of REIT indices with structural changes before and during the subprime mortgage crisis: evidence from Euro-Med markets, International Journal of Strategic Property Management 18(1): 1-10.

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“…(Note 1) As lingering economic uncertainties hampered financial markets after the 2007-2008 financial crisis, raising new capital proved challenging for many firms. Even though during the post-crisis period REITs continued to offer attractive investment opportunities,(Note 2) because many post-crisis real estate markets were in decline, attracting investors was challenging (Basse, Friedrich, & Bea, 2009). Therefore, because of the need for new capital, it was important that REITs pursue strategies that worked to increase financial transparency so they could motivate new capital investment.…”

Section: Introductionmentioning

confidence: 99%

Motivating Capital Investment by Using the Audit Process to Increase Financial Transparency

Cummings

Ramı́rez

Sharma

et al. 2018

AJFA

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This study examines the relationship between REITs' uses of the audit process to increase financial transparency, and their ability to attract and/or maintain reasonable access to capital investment. We find that capital investment is positively and significantly associated with auditor quality, specialization, and reputation. After controlling for the effects of the 2007-2008 financial crisis, we find that when REITs seek to attract new capital investment, using the audit process to increase financial transparency is just as important before the crisis as after it. These findings suggest that regardless of the economic conditions, auditor quality, specialization, and reputation add value.

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REITs and the financial crisis: Empirical evidence from the U.S.

Cited by 26 publications

References 27 publications

Interest rate forecasting and the financial crisis: a turning point in more than just one way

Interest rate forecasting and the financial crisis: a turning point in more than just one way

Co-Movements of Reit Indices With Structural Changes Before and During the Subprime Mortgage Crisis: Evidence From Euro-Med Markets

Motivating Capital Investment by Using the Audit Process to Increase Financial Transparency

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