Uncertainty Due to Infectious Diseases and Forecastability of the Realized Variance of United States Real Estate Investment Trusts: A Note

Matteo Bonato, Oguzhan Cepni, Rangan Gupta, Christian Pierdzioch*

*Corresponding author af dette arbejde

Publikation: Bidrag til tidsskriftLetterForskningpeer review

Abstrakt

We examine the forecasting power of a daily newspaper‐based index of uncertainty associated with infectious diseases (EMVID) for real estate investment trusts (REITs) realized market variance of the United States (US) via the heterogeneous autoregressive realized volatility (HAR‐RV) model. Our results show that the EMVID index improves the forecast accuracy of realized variance of REITs at short‐, medium‐, and long‐run horizons in a statistically significant manner, with the result being robust to the inclusion of additional controls (leverage, realized jumps, skewness, and kurtosis) capturing extreme market movements, and also carries over to 10 sub‐sectors of the US REITs market. Our results have important portfolio implications for investors during the current period of unprecedented levels of uncertainty resulting from the outbreak of COVID‐19.
OriginalsprogEngelsk
TidsskriftInternational Review of Finance
Antal sider11
ISSN1369-412X
DOI
StatusUdgivet - 7 jul. 2021

Bibliografisk note

Epub ahead of print. Published online: 07 July 2021.

Emneord

  • Forecasting
  • Infectious diseases
  • Realized variance
  • REITs
  • Uncertainty

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