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- Determinants of Real House Price Dynamics
- The paper explores the dynamics of real house prices by estimating serial correlation and mean reversion coefficients from a panel data set of 62 metro areas from 1979-1995. The serial correlation and reversion parameters are then shown to vary cross sectionally with city size, real income growth, population growth, and...
- White papers 2002-10-01
Additional Resources
- An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns
- The returns to hedge funds and other alternative investments are highly serially correlated, in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds. This paper explores several sources of such serial correlation and show that the most likely explanation is illiquidity...
- White papers 2003-04-28
- News Events, Information Acquisition, And Serial Correlation
- The article talks about the development of a model that accounts for medium-term continuation momentum in asset returns by analyzing information acquisition about news events such as earnings announcements in a multiperiod setting. As more and more agents become informed about news events, temporal uncertainty is resolved endogenously through market...
- White papers 2003-01-01
- Noise, Real Estate Markets, And Options On Real Assets: Theory
- The article looks into the valuation of illiquid real assets as well as claims written on illiquid real assets. In the model noise mean reverts such that observed asset values co-integrate with the unobserved full information asset value. The optimal value estimate is shown to have three time-weighted terms: a...
- White papers 2001-04-01
- The Statistical Properties Of Hedge Fund Index Returns And Their Implications for Investors
- The monthly return distributions of many hedge fund indices exhibit highly unusual skewness and kurtosis properties as well as first-order serial correlation. This has important consequences for investors. It demonstrates that although hedge fund indices are highly attractive in mean-variance terms, this is much less the case when skewness, kurtosis,...
- White papers 2001-10-31
- What Drives Hedge Fund Returns
- In this thesis, models were developed and tested that describe the characteristics of fund returns, fund flows, optimal size and hedge fund life cycles. The TASS hedge fund database provided by the Tremont Company was used for analysis. Several sources of such high serial correlation were explored and the research...
- White papers 2004-05-01
- An Excursion Into the Statistical Properties of Hedge Fund Returns
- This paper provides an overview of the most important statistical properties of individual hedge fund returns. It finds that the net-of-fees monthly returns of the average individual hedge fund exhibit significant skewness, excess kurtosis, as well as positive first-order serial correlation. The correlations between hedge funds in the same strategy...
- White papers 2002-07-19
- Residential Housing Market: Mean Reversion Will Take Some Time
- The following is an abstract from a Journal of Housing Economics paper: House prices often exhibit serial correlation and mean reversion. Using two large panel datasets, this paper analyzes the price dynamics in two significantly different types of markets, cyclical or volatile and non-cyclical or tame, by applying...
- External links 2009-10-06
- Market Efficiency and Return Statistics: Evidence From Real Estate and Stock Markets Using a Present-Value Approach
- This paper develops a methodology to identify asset price response to news in the framework of Campbell-Shiller log-linear present-value equation. It shows that slow price adjustment not only induces high serial auto correlation in real estate excess returns but also dampens their volatility and correlation with other asset returns. The...
- White papers 2000-04-01
- Market Efficiency and Return Statistics: Evidence from Real State and Stock Markets using a Present-Value Approach.
- This paper develops a methodology to identify asset price response to news in the framework of campbell-shiller log linear present value equations. It shows that slow price adjustment not only induces high serial auto correction in real estate excess returns, but also dampens their volatility and correlation with other asset...
- White papers 2000-05-01
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