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Asset Allocation and Predictability of Real Estate Returns
14 references·4 citing·48 second hop
Asset Allocation and Predictability of Real Estate Returns (1992)Asset Allocation and Predictability of Re…The predictability of returns on equity REITs and their co-movement with other assets (1992)The predictability of returns…A Theory of Trading in Stock Index Futures (1991)A Theory of Trading in Stock …Risk and Return on Real Estate: Evidence from Equity REITs (1990)Risk and Return on Real Estat…Predicting Stock Returns in an Efficient Market (1990)Predicting Stock Returns in a…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…The Total Cost of Transactions on the NYSE (1988)The Total Cost of Transaction…Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Gains from International Diversification: 1968-85 Returns on Portfolios of Stocks and Bonds (1987)Gains from International Dive…The theory and practice of econometrics (1986)The theory and practice of ec…Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Determinants of Portfolio Performance (1986)Determinants of Portfolio Per…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Real Estate Investment Funds: Performance and Portfolio Considerations (1984)Real Estate Investment Funds:…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value (2009)Time and Risk Diversification…REITs and the financial crisis: Empirical evidence from the U.S. (2009)REITs and the financial crisi…Forecasting EREIT Returns (2007)Forecasting EREIT ReturnsInvesting for the Long-Run in European Real Estate (2006)Investing for the Long-Run in…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)The Variation of Economic Risk Premiums (1991)Expected Stock Returns and Variance Risk Premia (2009)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Intraday Price Formation in U.S. Equity Index Markets (2003)Talk and Action: What Individual Investors Say and What They Do (2005)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)Technical Change and the Aggregate Production Function (1957)The equity premium: A puzzle (1985)A Recursive Modelling Approach to Predicting UK Stock Returns (2000)Stock prices and domestic and international macroeconomic activity: a cointegration approach (2000)Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics (2006)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)A Test of the Efficiency of a Given Portfolio (1989)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Economic Forces and the Stock Market (1986)Performance measurement with the arbitrage pricing theory (1986)The Integration of Commercial Real Estate Markets and Stock Markets (1999)Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Does the Stock Market Overreact? (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Efficient Market Hypothesis and Its Critics (2003)Asset pricing and the bid-ask spread (1986)The Effect of National Culture on the Choice of Entry Mode (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)The Structure and Performance of the Money Management Industry (1992)The Behavior of Stock Prices Around Institutional Trades (1995)Beyond Greed and Fear (2002)
this work references cited by second hop

References

  • 1986The theory and practice of econometrics4,342 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1986Determinants of Portfolio Performance1,031 cited
  • 1991A Theory of Trading in Stock Index Futures542 cited
  • 1990Risk and Return on Real Estate: Evidence from Equity REITs365 cited
  • 1990Predicting Stock Returns in an Efficient Market327 cited
  • 1988The Total Cost of Transactions on the NYSE316 cited
  • 1992The predictability of returns on equity REITs and their co-movement with other assets284 cited
  • 1984Real Estate Investment Funds: Performance and Portfolio Considerations224 cited
  • 1987Gains from International Diversification: 1968-85 Returns on Portfolios of Stocks and Bonds215 cited

Cited by

  • 2007Forecasting EREIT Returns38 cited
  • 2009

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Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value
35 cited
  • 2009REITs and the financial crisis: Empirical evidence from the U.S.34 cited
  • 2006Investing for the Long-Run in European Real Estate24 cited