Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/265021 
Year of Publication: 
2021
Citation: 
[Journal:] International Review of Finance [ISSN:] 1468-2443 [Volume:] 22 [Issue:] 3 [Publisher:] John Wiley & Sons Australia, Ltd [Place:] Melbourne [Year:] 2021 [Pages:] 540-550
Publisher: 
John Wiley & Sons Australia, Ltd, Melbourne
Abstract: 
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.
Subjects: 
forecasting
infectious diseases
realized variance
REITs
uncertainty
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
Document Version: 
Published Version

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