REIT Stock Market Volatility and Expected Returns
研究了REIT股票波动性与未来收益的关系，发现隐含波动率与同期收益负相关、与未来波动正相关、与未来收益负相关，并基于此开发了潜在盈利的交易策略。
We study the relation between REIT stock volatility and future returns, focusing particularly on the financial crisis period of 2007–2009. There is ongoing debate about whether stock volatility can forecast future returns. Our findings suggest that REIT‐implied volatility is negatively related to contemporaneous stock returns; there is a significant positive relationship between REIT implied volatility and future stock volatility; and there is a significant negative relation between REIT implied volatility and future stock returns. Lastly, we develop trading rules based on REIT implied volatility to test whether these relationships are exploitable. The result suggests a potentially profitable trading strategy.