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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/75530

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/75530

Title:	Asymmetric dynamics in REIT prices: Further evidence based on quantile regression analysis
Authors:	Lee, C.-C.;Lee, C.-F.;Lee, Chi-Chuan 李起銓
Contributors:	金融系
Keywords:	Mean reversion;Quantile regression;Random walk;REIT;Unit-root test
Date:	2014-10
Issue Date:	2015-06-02 17:11:24 (UTC+8)
Abstract:	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. © 2014.
Relation:	Economic Modelling, 42, 29-37
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.econmod.2014.05.042
DOI:	10.1016/j.econmod.2014.05.042
Appears in Collections:	[金融學系] 期刊論文

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