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On the Comovement of REIT Prices
16 references·1 citing·55 second hopsampled
On the Comovement of REIT Prices (2010)On the Comovement of REIT PricesTime-series and cross-sectional excess comovement in stock indexes (2007)Time-series and cross-section…Imperfect Competition, Information Heterogeneity, and Financial Contagion (2006)Imperfect Competition, Inform…Asymmetric Price Movements and Borrowing Constraints: A Rational Expectations Equilibrium Model of Crises, Contagion, and Confusion (2005)Asymmetric Price Movements an…The rise in comovement across national stock markets: market integration or IT bubble? (2004)The rise in comovement across…The Influence of Analysts, Institutional Investors, and Insiders on the Incorporation of Market, Industry, and Firm-Specific Information into Stock Prices (2004)The Influence of Analysts, In…Comovement (2004)ComovementStyle investing (2003)Style investingA Rational Expectations Model of Financial Contagion (2002)A Rational Expectations Model…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…Contagion as a Wealth Effect (2001)Contagion as a Wealth EffectFurther Evidence on the Integration of REIT, Bond, and Stock Returns (2000)Further Evidence on the Integ…Dispersion as Cross-Sectional Correlation (2000)Dispersion as Cross-Sectional…Trend Function Hypothesis Testing in the Presence of Serial Correlation (1998)Trend Function Hypothesis Tes…Institutional Investment in REITs: Evidence and Implications (1998)Institutional Investment in R…Systematic Risk and Diversification in the Equity REIT Market (1996)Systematic Risk and Diversifi…Of Shepherds, Sheep, and the Cross-autocorrelations in Equity Returns (1995)Of Shepherds, Sheep, and the …The Sources of Risk Spillovers among U.S. REITs: Financial Characteristics and Regional Proximity (2014)The Sources of Risk Spillover…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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Continuous Auctions and Insider Trading (1985)Does the Stock Market Overreact? (1985)Momentum Trading by Institutions (2002)Do foreigners facilitate information transmission in emerging markets? (2012)Are Institutions Informed About News? (2014)Optimum consumption and portfolio rules in a continuous-time model (1971)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)The Limits of Arbitrage (1995)A New Approach to Measuring Financial Contagion (2003)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)On the Impossibility of Informationally Efficient Markets (1980)Limited-dependent and qualitative variables in econometrics (1983)Credit Cycles (1997)Excess Comovement of Stock Returns: Evidence from Cross-Sectional Variation in Nikkei 225 Weights (2007)The Dog That Did Not Bark: Insider Trading and Crashes (2008)Convective Risk Flows in Commodity Futures Markets (2014)On the Impossibility of Informationally Efficient Markets (1980)The separation of ownership and control in East Asian Corporations (2000)Competition and Financial Stability (2004)Contagion in financial networks (2010)Trends and random walks in macroeconomic time series (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Testing for a Unit Root in a Time Series With a Changing Mean (1990)Investigating the Behavior of Idiosyncratic Volatility* (2003)Testing for Shifts in Trend With an Integrated or Stationary Noise Component (2009)The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes? (2009)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The distribution of realized stock return volatility (2001)Asymmetric correlations of equity portfolios (2002)Default Risk in Equity Returns (2004)The Econometrics of Financial Markets (2012)Industry costs of equity (1997)The Influence of Institutional Investors on Myopic R&D Investment Behavior (1998)The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)Stock price synchronicity and analyst coverage in emerging markets (2005)Does board gender diversity improve the informativeness of stock prices? (2011)Stock price synchronicity, crash risk, and institutional investors (2013)Noise Trader Risk in Financial Markets (1990)Size and Book-to-Market Factors in Earnings and Returns (1995)International Stock Return Comovements (2005)Understanding commonality in liquidity around the world (2011)Do ETFs Increase Volatility? (2014)Judgment under Uncertainty: Heuristics and Biases (1974)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Dumb money: Mutual fund flows and the cross-section of stock returns (2008)Innovative efficiency and stock returns (2012)
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References

  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • 2004The Influence of Analysts, Institutional Investors, and Insiders on the Incorporation of Market, Industry, and Firm-Specific Information into Stock Prices1,250 cited
  • 2002A Rational Expectations Model of Financial Contagion1,080 cited
  • 2003Style investing971 cited
  • 2004Comovement929 cited
  • 2001Contagion as a Wealth Effect926 cited
  • 2005Asymmetric Price Movements and Borrowing Constraints: A Rational Expectations Equilibrium Model of Crises, Contagion, and Confusion370 cited
  • 1995Of Shepherds, Sheep, and the Cross-autocorrelations in Equity Returns331 cited
  • 2000Further Evidence on the Integration of REIT, Bond, and Stock Returns318 cited
  • 1998Trend Function Hypothesis Testing in the Presence of Serial Correlation302 cited
  • 2004The rise in comovement across national stock markets: market integration or IT bubble?263 cited
  • 2000Dispersion as Cross-Sectional Correlation158 cited
  • 1996Systematic Risk and Diversification in the Equity REIT Market150 cited
  • 1998Institutional Investment in REITs: Evidence and Implications146 cited
  • 2006Imperfect Competition, Information Heterogeneity, and Financial Contagion

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133 cited
  • 2007Time-series and cross-sectional excess comovement in stock indexes132 cited
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    • 2014The Sources of Risk Spillovers among U.S. REITs: Financial Characteristics and Regional Proximity36 cited