Duration dependence in real estate investment trusts

• Autores: James E. Payne, Thomas W. Zuehlke
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 16, Nº. 5, 2006, págs. 413-423
• Idioma: inglés
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• Resumen

  • Hazard models are used to test for duration dependence in the market for real estate investments trusts. Duration dependence implies an ability to predict the turning points of a cycle. In a sense, the models attempt to predict the timing of mean reversion of the market indices. Since the only sample information used in these tests is the lenght of time between turning points of the cycle, this methodology avoids the more challenging task of modelling the quantitive values of the series, and should provide relatively robust results because of the relatively weak structure imposed on the estimation process. Empirical evidence of duration dependence is found for all samples except mortgage REIT expansions.