SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The Case for REITs in the Mixed-Asset Portfolio in the Short and Long Run
13 references·16 citing·43 second hop
The Case for REITs in the Mixed-Asset Portfolio in the Short and Long Run (2005)The Case for REITs in the Mixed-Asset Por…International Evidence on Real Estate as a Portfolio Diversifier (2004)International Evidence on Rea…The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns (2001)The Time-Varying Nature of th…Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)Further Evidence on the Integ…The Integration of Commercial Real Estate Markets and Stock Markets (1999)The Integration of Commercial…The Predictability of REIT Returns and Market Segmentation (1995)The Predictability of REIT Re…Real Estate Investment Trusts: A Review of the Financial Economics Literature (1995)Real Estate Investment Trusts…Price Discovery in American and British Property Markets (1995)Price Discovery in American a…The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison (1993)Return Properties of Equity R…What Does the Stock Market Tell Us About Real Estate Returns? (1992)What Does the Stock Market Te…Portfolio Optimization in Practice (1992)Portfolio Optimization in Pra…Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…For better performance (1988)For better performanceHow resilient are REITs to a pandemic? The COVID-19 effect (2020)How resilient are REITs to a …Macro Asset Allocation with Social Impact Investments (2019)Macro Asset Allocation with S…Harmful diversification: Evidence from alternative investments (2018)Harmful diversification: Evid…Diversification benefit and return performance of REITs using CAPM and Fama-French: Evidence from Turkey (2017)Diversification benefit and r…Time-varying correlation between stock market returns and real estate returns (2012)Time-varying correlation betw…Strategic Asset Allocation and the Role of Alternative Investments (2012)Strategic Asset Allocation an…The Changing Benefit of REITs to the Mixed-Asset Portfolio (2010)The Changing Benefit of REITs…REITs and Correlations with Other Asset Classes: A European Perspective (2010)REITs and Correlations with O…Real Estate in an ALM Framework: The Case of Fair Value Accounting (2010)Real Estate in an ALM Framewo…The role of Malaysian securitised real estate in a mixed‐asset portfolio (2009)The role of Malaysian securit…REITs and the financial crisis: Empirical evidence from the U.S. (2009)REITs and the financial crisi…Conditional Correlations and Real Estate Investment Trusts (2009)Conditional Correlations and …Time‐varying performance of four Asia‐Pacific REITs (2008)Time‐varying performance of f…The nature of listed real estate companies: property or equity market? (2008)The nature of listed real est…Performance differences in property‐type diversified versus specialized real estate investment trusts (REITs) (2008)Performance differences in pr…Calculated Inequality? Portfolio Benchmarking and Regional Office Property Investment in the UK (2008)Calculated Inequality? Portfo…Permanent and Temporary Components of Stock Prices (1988)Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Closed‐End Fund Puzzle (1991)Real estate is not normal: A fresh look at real estate return distributions (1995)Appraisal Smoothing and Price Discovery in Real Estate Markets (2003)Are REITs real estate? Evidence from international sector level data (2012)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns (2003)A New Class of Tests of Contagion With Applications (2010)The Econometric Analysis of Time Series. (1983)Commercial Real Estate Analysis and Investments (2000)Multivariate Modeling of Daily REIT Volatility (2006)Dynamic Correlations Among Asset Classes: REIT and Stock Returns (2010)Asset returns and inflation (1977)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)Do Real Estate Prices and Stock Prices Move Together? An International Analysis (1999)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices (2003)Markets contagion during financial crisis: A regime-switching approach (2010)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)International Evidence on Real Estate Securities as an Inflation Hedge (1997)Public Versus Private Real Estate Equities: A More Refined, Long-Term Comparison (2005)The Theory of Syndicates (1968)Asset Prices in an Exchange Economy (1978)Martingales and arbitrage in multiperiod securities markets (1979)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Conditional Skewness in Asset Pricing Tests (2000)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Portfolio Resampling: Review and Critique (2002)Robust multiobjective optimization & applications in portfolio optimization (2013)Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy? (2015)Robust Portfolio Selection Problems (2003)Optimal Portfolio Choice with Parameter Uncertainty (2007)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation. (2001)Portfolio Choice Problems (2010)Machine Learning and Portfolio Optimization (2016)
this work references cited by second hop

References

  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies1,088 cited
  • 1992What Does the Stock Market Tell Us About Real Estate Returns?438 cited
  • 2000Further Evidence on the Integration of REIT, Bond, and Stock Returns318 cited
  • 1988For better performance298 cited
  • 1999The Integration of Commercial Real Estate Markets and Stock Markets290 cited
  • 1995Price Discovery in American and British Property Markets273 cited
  • 2001The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns229 cited
  • 1992Portfolio Optimization in Practice227 cited
  • 1993Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison207 cited
  • 2004International Evidence on Real Estate as a Portfolio Diversifier204 cited
  • 1995The Predictability of REIT Returns and Market Segmentation139 cited
  • 1995Real Estate Investment Trusts: A Review of the Financial Economics Literature110 cited

Cited by

  • 2019Macro Asset Allocation with Social Impact Investments95 cited
  • 2020How resilient are REITs to a pandemic? The COVID-19 effect

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

75 cited
  • 2012Time-varying correlation between stock market returns and real estate returns71 cited
  • 2008Performance differences in property‐type diversified versus specialized real estate investment trusts (REITs)67 cited
  • 2018Harmful diversification: Evidence from alternative investments65 cited
  • 2008The nature of listed real estate companies: property or equity market?63 cited
  • 2008Calculated Inequality? Portfolio Benchmarking and Regional Office Property Investment in the UK60 cited
  • 2012Strategic Asset Allocation and the Role of Alternative Investments45 cited
  • 2009Conditional Correlations and Real Estate Investment Trusts42 cited
  • 2009The role of Malaysian securitised real estate in a mixed‐asset portfolio39 cited
  • 2009REITs and the financial crisis: Empirical evidence from the U.S.34 cited
  • 2010The Changing Benefit of REITs to the Mixed-Asset Portfolio32 cited
  • 2017Diversification benefit and return performance of REITs using CAPM and Fama-French: Evidence from Turkey31 cited
  • 2008Time‐varying performance of four Asia‐Pacific REITs31 cited
  • 2010REITs and Correlations with Other Asset Classes: A European Perspective30 cited
  • 2010Real Estate in an ALM Framework: The Case of Fair Value Accounting24 cited