A specialised volatility index for the new GICS sector - Real estate
| Autor: | Robert W. Faff, Lin Mi, Karen L. Benson |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Volatility index
Economics and Econometrics 050208 finance Financial economics Realized variance Global Industry Classification Standard 05 social sciences Equity (finance) Cost approach Real estate Capitalization rate Real estate investment trust 0502 economics and business Economics 050207 economics |
| Zdroj: | Economic Modelling. 70:438-446 |
| ISSN: | 0264-9993 |
| DOI: | 10.1016/j.econmod.2017.08.025 |
| Popis: | In this paper we show why a Real Estate VIX is needed. We develop a 30-day forward-looking real estate volatility index (REVIX), based on a state preference approach using US equity Real Estate Investment Trusts (REITs), for the new Real Estate Sector under the Global Industry Classification Standard (GICS). We show that REVIX is a very useful predictor of future REIT realized volatility. We further explore an economic application of REVIX and demonstrate that REVIX, similar to VIX, serves as an investor fear gauge for the real estate market. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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