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

作者：Lee Chien Chiang; Lee Cheng Feng; Lee Chi Chuan

来源：Economic Modelling, 2014, 42: 29-37.

DOI：10.1016/j.econmod.2014.05.042

• REIT
• Mean reversion
• Quantile regression
• Random walk
• Unit-root test

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.

• 出版日期2014-10
• 单位中山大学