2 citations · 2 across the 1 of their papers we have counts for
2 papers
q-fin.PM2011★ 2 cited
A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics
John Cotter, Richard Roll
Real Estate Investment Trusts (REITs) are the only truly liquid assets related to real estate investments. We study the behavior of U.S. REITs over the past three decades and docum…
q-fin.CP2011
Hedging Effectiveness under Conditions of Asymmetry
John Cotter, Jim Hanly
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and lon…