Winner versus Loser: Time-varying performance and dynamic conditional correlation

Zhongyi Xiao, Peng Zhao, Masha Rahnama, Yaling Zhou

Research output: Contribution to journalArticlepeer-review

3 Scopus citations


Using multi-factor models in OLS and GARCH-M methodology, this paper provides a cross-sectional and time-series investigation of conditional and unconditional expected returns of real REITs index momentum portfolios against real estate property, large-cap stock small-cap stock, and bond index in USA. The expected returns and dynamic conditional correlations between REITs and those of other financial and tangible assets vary in period 1989-2010. REITs returns exhibit a higher correlation with up move of financial market, but a lower correlation in market downturns. REITs may possibly provide diversification benefits to multi-asset investment portfolio. We find that the performances of momentum returns are different from the NAREIT index, and display asymmetric volatility as well. Additionally, we find evidence that REITs momentum returns are varying between winner and loser by Wald test. The results of regressions also indicate that REITs return exhibits the greater sensitivity to large- and small-cap stock index, and less closely with those of bond and real estate index. The results also suggest that REITs not be viewed as a complete substitute for investment in tangible property of real estate.

Original languageEnglish
Pages (from-to)581-594
Number of pages14
JournalJournal of Applied Business Research
Issue number4
StatePublished - 2012


  • Dynamic conditional correlation
  • GARCH-M model
  • Momentum return
  • REITs


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