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An Examination of Informed Traders and the Market Microstructure of Real Estate Investment Trusts
11 references·8 citing·51 second hop
An Examination of Informed Traders and the Market Microstructure of Real Estate Investment Trusts (1995)An Examination of Informed Traders and th…Market Microstructure and Real Estate Returns (1995)Market Microstructure and Rea…Initial public offerings of equity securities (1992)Initial public offerings of e…An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)An Analysis of Intraday Patte…A Comparison of the Recent Performance of Publicly Traded Real Property Portfolios and Common Stock (1991)A Comparison of the Recent Pe…Risk and Return on Real Estate: Evidence from Equity REITs (1990)Risk and Return on Real Estat…REIT Advisor Performance (1990)REIT Advisor PerformanceLatent Assets (1990)Latent AssetsThe Dependence between Hourly Prices and Trading Volume (1988)The Dependence between Hourly…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…Real Estate Investment Funds: Performance and Portfolio Considerations (1984)Real Estate Investment Funds:…Real Estate Mutual Funds: Herding, Momentum Trading and Performance (2013)Real Estate Mutual Funds: Her…On the Comovement of REIT Prices (2010)On the Comovement of REIT Pri…The Liquidity of Property Shares: An International Comparison (2009)The Liquidity of Property Sha…Intraday REIT Liquidity (2005)Intraday REIT LiquidityThe Value of Liquidity (2001)The Value of LiquidityThe Changing Asymmetric Information Component of REIT Spreads: A Study of Anticipated Announcements (2000)The Changing Asymmetric Infor…Analysis of REIT IPOs Using a Market Microstructure Approach: Anomalous Behavior or Asset Structure (1998)Analysis of REIT IPOs Using a…REIT Pricing Efficiency; Should Investors Still Be Concerned? (1996)REIT Pricing Efficiency; Shou…Investment banking, reputation, and the underpricing of initial public offerings (1986)Why new issues are underpriced (1986)The Long‐Run Performance of initial Public Offerings (1991)Chapter 30 Initial public offerings (1995)The Marketing of Closed-end Fund IPOs: Evidence from Transactions Data (1996)The Pricing of Initial Public Offers of Corporate Straight Debt (1997)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Equilibrium in a Capital Asset Market (1966)The arbitrage theory of capital asset pricing (1976)Diversification Categories in Investment Real Estate (1986)Real Estate Returns and Inflation (1987)Price formation and the appraisal function in real estate markets (1991)Investor Sentiment and the Closed‐End Fund Puzzle (1991)The Modern Industrial Revolution, Exit, and the Failure of Internal Control Systems (1993)Office Capitalization Rates: Real Estate and Capital Market Influences (1999)The Impact of Institutional Investors on the Monday Seasonal (2004)Liquidity, Return and Order‐Flow Linkages Between REITs and the Stock Market (2007)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Time and the Price Impact of a Trade (2000)Optimal trading strategy and supply/demand dynamics (2012)Mutual Fund Performance (1966)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Real Estate Investment Trusts: A Review of the Financial Economics Literature (1995)REITs and Their Management: An Analysis of Organizational Structure, Performance and Management Compensation (1995)The Analysis of Economic Time-Series-Part I: Prices (1953)Some New Stock-Market Indexes (1966)Predicting stock market volatility: A new measure (1995)High frequency data in financial markets: Issues and applications (1997)Multifractal analysis of financial markets: a review (2019)The Cost of Transacting (1968)Stock returns and the weekend effect (1980)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Order flow composition and trading costs in a dynamic limit order market (1999)Economic Forces and the Stock Market (1986)Performance measurement with the arbitrage pricing theory (1986)The predictability of returns on equity REITs and their co-movement with other assets (1992)The Integration of Commercial Real Estate Markets and Stock Markets (1999)Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)The General Theory of Employment, Interest and Money. (1936)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Restructuring in the global economy: The consequences of strategic linkages between Japanese and U.S. firms (1993)Value of Latent Information: Alternative Event Study Methods (1993)Agency costs of free cash flow, corporate finance, and takeovers (1996)VOLATILITY IN OIL PRICES AND MANUFACTURING ACTIVITY: AN INVESTIGATION OF REAL OPTIONS (2011)Stock Market Structure and Volatility (1990)Trade Size and Components of the Bid-Ask Spread (1995)
this work references cited by second hop

References

  • 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
  • 1988The Dependence between Hourly Prices and Trading Volume671 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks534 cited
  • 1990Risk and Return on Real Estate: Evidence from Equity REITs365 cited
  • 1984Real Estate Investment Funds: Performance and Portfolio Considerations224 cited
  • 1992Initial public offerings of equity securities135 cited
  • 1990REIT Advisor Performance111 cited
  • 1990Latent Assets103 cited
  • 1995Market Microstructure and Real Estate Returns92 cited
  • 1991A Comparison of the Recent Performance of Publicly Traded Real Property Portfolios and Common Stock43 cited

Cited by

  • 2001The Value of Liquidity82 cited
  • 1996REIT Pricing Efficiency; Should Investors Still Be Concerned?39 cited
  • 2010On the Comovement of REIT Prices37 cited
  • 2009The Liquidity of Property Shares: An International Comparison37 cited
  • 2013Real Estate Mutual Funds: Herding, Momentum Trading and Performance

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32 cited
  • 2005Intraday REIT Liquidity30 cited
  • 1998Analysis of REIT IPOs Using a Market Microstructure Approach: Anomalous Behavior or Asset Structure28 cited
  • 2000The Changing Asymmetric Information Component of REIT Spreads: A Study of Anticipated Announcements27 cited