SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Shocks to macroeconomic state variables and the risk premium of REITs
16 references·2 citing·46 second hop
Shocks to macroeconomic state variables and the risk premium of REITs (2003)Shocks to macroeconomic state variables a…Vector Autoregressions and Reality (2002)Vector Autoregressions and Re…REIT Returns and Inflation: Perverse or Reverse Causality Effects? (2002)REIT Returns and Inflation: P…Time-Series Properties and Diversification Benefits of REIT Returns (1999)Time-Series Properties and Di…The Variation of Economic Risk Premiums in Real Estate Returns (1998)The Variation of Economic Ris…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Generalised Impulse Response Analysis in Linear Multivariate Models (1997)Generalised Impulse Response …Economic Risk Factors and Commercial Real Estate Returns (1997)Economic Risk Factors and Com…Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs? (1997)Do Common Risk Factors in the…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …The Predictability of REIT Returns and Market Segmentation (1995)The Predictability of REIT Re…Risk and Return on Real Estate: Evidence from Equity REITs (1990)Risk and Return on Real Estat…The federal funds rate and the channels of monetary transmission (1989)The federal funds rate and th…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Macroeconomic risks and REITs returns: A comparative analysis (2017)Macroeconomic risks and REITs…Do Public Real Estate Returns Really Lead Private Returns? (2015)Do Public Real Estate Returns…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)A Monetary History of the United States, 1867-1960 (1964)Macroeconomics and Reality (1980)A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada (1995)Energy consumption, real income and temporal causality: results from a multi-country study based on cointegration and error-correction modelling techniques (1996)Fiscal Policy, Profits, and Investment (2002)A Monetary History of the United States, 1867-1960 (2017)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)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)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)Cointegration and speed of convergence to equilibrium (1996)Energy consumption, economic growth, and carbon emissions: Challenges faced by an EU candidate member (2007)Oil prices and the stock prices of alternative energy companies (2007)Relationships between oil price shocks and stock market: An empirical analysis from China (2008)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)The Science of Monetary Policy: A New Keynesian Perspective (1999)What Do a Million Observations on Banks Say About the Transmission of Monetary Policy? (2000)
this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 1989The federal funds rate and the channels of monetary transmission2,833 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 2002Vector Autoregressions and Reality413 cited
  • 1997Generalised Impulse Response Analysis in Linear Multivariate Models412 cited
  • 1990Risk and Return on Real Estate: Evidence from Equity REITs365 cited
  • 1997Economic Risk Factors and Commercial Real Estate Returns220 cited
  • 1997Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?210 cited
  • 1998The Variation of Economic Risk Premiums in Real Estate Returns172 cited
  • 1995The Predictability of REIT Returns and Market Segmentation139 cited
  • 1999Time-Series Properties and Diversification Benefits of REIT Returns104 cited

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

  • 2002REIT Returns and Inflation: Perverse or Reverse Causality Effects?93 cited
  • Cited by

    • 2017Macroeconomic risks and REITs returns: A comparative analysis34 cited
    • 2015Do Public Real Estate Returns Really Lead Private Returns?33 cited