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Substitutability between Equity REITs and Mortgage REITs
14 references·3 citing·44 second hop
Substitutability between Equity REITs and Mortgage REITs (2004)Substitutability between Equity REITs and…Momentum, Business Cycle and Time Varying Expected Returns (2001)Momentum, Business Cycle and …The Predictability of Equity REIT Returns: Time Variation and Economic Significance (2000)The Predictability of Equity …Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)Further Evidence on the Integ…The Predictability of International Real Estate Markets, Exchange Rate Risks and Diversification Consequences (1998)The Predictability of Interna…Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs? (1997)Do Common Risk Factors in the…Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison (1993)Return Properties of Equity R…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…What Does the Stock Market Tell Us About Real Estate Returns? (1992)What Does the Stock Market Te…Risk and Return on Real Estate: Evidence from Equity REITs (1990)Risk and Return on Real Estat…Equity Real Estate Investment Trusts and Real Estate Returns (1990)Equity Real Estate Investment…The size and power of the variance ratio test in finite samples (1989)The size and power of the var…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…How Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…The Financial Performance Of Real Estate Investment Trusts (1986)The Financial Performance Of …The walking debt crisis (2017)The walking debt crisisReturns transmission, value at risk, and diversification benefits in international REITs: evidence from the financial crisis (2012)Returns transmission, value a…The Changing Benefit of REITs to the Mixed-Asset Portfolio (2010)The Changing Benefit of REITs…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 Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns (2001)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 arbitrage theory of capital asset pricing (1976)Price Discovery in American and British Property Markets (1995)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Time to Build and Aggregate Fluctuations (1982)A Model of Growth Through Creative Destruction (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The relationship between return and market value of common stocks (1981)The Cross-Section of Expected Stock Returns (1992)The information content of funds from operations (FFO) for real estate investment trusts (REITs) (1999)Intra-industry momentum: the case of REITs (2003)Multivariate Modeling of Daily REIT Volatility (2006)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)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Cross-Sectional and Time-Series Determinants of Momentum Returns (2002)Intertemporal CAPM and the Cross-Section of Stock Returns (2002)Tactical allocation in commodity futures markets: Combining momentum and term structure signals (2010)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Drawing inferences from statistics based on multiyear asset returns (1989)A simple multiple variance ratio test (1993)Alternative Variance-Ratio Tests Using Ranks and Signs (2000)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Specification Tests in Econometrics (1978)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 1989The size and power of the variance ratio test in finite samples522 cited
  • 1992What Does the Stock Market Tell Us About Real Estate Returns?438 cited
  • 1990Risk and Return on Real Estate: Evidence from Equity REITs365 cited
  • 2000Further Evidence on the Integration of REIT, Bond, and Stock Returns318 cited
  • 2001Momentum, Business Cycle and Time Varying Expected Returns262 cited
  • 1990Equity Real Estate Investment Trusts and Real Estate Returns253 cited
  • 1997Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?210 cited
  • 1993Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison207 cited
  • 1998The Predictability of International Real Estate Markets, Exchange Rate Risks and Diversification Consequences117 cited
  • 2000The Predictability of Equity REIT Returns: Time Variation and Economic Significance103 cited
  • 1986The Financial Performance Of Real Estate Investment Trusts69 cited

Cited by

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  • 2017The walking debt crisis35 cited
  • 2010The Changing Benefit of REITs to the Mixed-Asset Portfolio32 cited
  • 2012Returns transmission, value at risk, and diversification benefits in international REITs: evidence from the financial crisis31 cited