Asymmetric dynamics in REIT prices: Further evidence based on quantile regression analysis

被引：8

作者：

Lee, Chien-Chiang ^{[1
]}

Lee, Cheng-Feng ^{[2
]}

Lee, Chi-Chuan ^{[3
]}

机构：

[1] Natl Sun Yat Sen Univ, Dept Finance, Kaohsiung 80424, Taiwan

[2] Natl Kaohsiung Univ Appl Sci, Dept Business Adm, Kaohsiung 807, Taiwan

[3] Natl Chengchi Univ, Dept Money & Banking, 64 Chihnan Rd,Sec 2 Wenshan, Taipei 11623, Taiwan

来源：

ECONOMIC MODELLING | 2014年 / 42卷

关键词：

REIT; Mean reversion; Quantile regression; Random walk; Unit-root test; REAL EXCHANGE-RATE; MEAN-REVERSION; HOUSE PRICES; MODEL; EQUILIBRIUM; TESTS;

D O I：

10.1016/j.econmod.2014.05.042

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study examines whether mean reversion in REIT prices presents an asymmetric behavior across various quantiles. Distinguished from previous literature that applied the traditional linear unit-root test, a state-of-the-art quantile unit-root test is employed to identify financial asset predictability in five real estate investment trust (REIT) classifications. Our empirical results reveal a distinct pattern that mean reversion is found for those relatively high REIT prices, while random walk properties only exist for those relatively low REIT prices. More specifically, the higher the price is, the faster the speed of mean reversion of REIT toward its long-run equilibrium will be. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：29 / 37

页数：9

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