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Property, Common Stock, and Property Shares
13 references·4 citing·45 second hop
Property, Common Stock, and Property Shares (2003)Property, Common Stock, and Property Shar…The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns (2001)The Time-Varying Nature of th…The portfolio flows of international investors (2001)The portfolio flows of intern…International Real Estate Diversification: Empirical Tests using Hedged Indices (2000)International Real Estate Div…The Portfolio Flows of International Investors, I (1998)The Portfolio Flows of Intern…Commercial Real Estate Prices and Stock Market Returns: An International Analysis (1997)Commercial Real Estate Prices…Price Discovery in American and British Property Markets (1995)Price Discovery in American a…Temporal Aggregation in Real Estate Return Indices (1993)Temporal Aggregation in Real …Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)Estimating Market Values from…What Does the Stock Market Tell Us About Real Estate Returns? (1992)What Does the Stock Market Te…Equity Real Estate Investment Trusts and Real Estate Returns (1990)Equity Real Estate Investment…Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns (1989)Estimating Real Estate's Syst…Bias in Appraisal‐Based Returns (1989)Bias in Appraisal‐Based Retur…A Note on the use of Appraisal Data in Indexes of Performance Measurement (1988)A Note on the use of Appraisa…Volatility jumps and their determinants in REIT returns (2020)Volatility jumps and their de…Commercial Real Estate and Equity Market Bubbles: Are They Contagious to REITs? (2013)Commercial Real Estate and Eq…Are REITs Real Estate? Evidence from International Sector Level Data (2012)Are REITs Real Estate? Eviden…REITs and Correlations with Other Asset Classes: A European Perspective (2010)REITs and Correlations with O…The Efficiency of the Market for Single-Family Homes (1988)Forecasting Prices and Excess Returns in the Housing Market (1990)Value indices of commercial real estate: A comparison of index construction methods (1994)Strategic asset allocation with liabilities: Beyond stocks and bonds (2008)The Econometric Analysis of Time Series. (1983)Commercial Real Estate Analysis and Investments (2000)Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)Multivariate Modeling of Daily REIT Volatility (2006)Dynamic Correlations Among Asset Classes: REIT and Stock Returns (2010)Are REITs real estate? Evidence from international sector level data (2012)The arbitrage theory of capital asset pricing (1976)The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns (2003)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Real Estate Returns: A Comparison with Other Investments (1984)Empirical Tests of the Consumption‐Oriented CAPM (1989)Smoothing in Commercial Property Valuations: Evidence from Individual Appraisals (2001)Do Out‐of‐State Buyers Pay More for Real Estate? An Examination of Anchoring‐Induced Bias and Search Costs (2004)Illiquidity and Pricing Biases in the Real Estate Market (2007)Asset returns and inflation (1977)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Do Real Estate Prices and Stock Prices Move Together? An International Analysis (1999)Continuous Auctions and Insider Trading (1985)The impact of institutional trading on stock prices (1992)Mutual Fund Herding and the Impact on Stock Prices (1999)Contagion: Why Crises Spread and How This Can Be Stopped (2001)Daily Momentum and Contrarian Behavior of Index Fund Investors (2002)Did the Asian financial crisis scare foreign investors out of Japan? (2002)A Regression Method for Real Estate Price Index Construction (1963)Price Indexes and Quality Change (1971)Unsmoothing British valuation‐based returns without assuming an efficient market (1994)Appraisal Smoothing: The Other Side of the Story (1998)Housing Price Dispersion: An Empirical Investigation (2006)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Permanent and Temporary Components of Stock Prices (1988)International Evidence on Real Estate Securities as an Inflation Hedge (1997)Appraisal Smoothing and Price Discovery in Real Estate Markets (2003)Public Versus Private Real Estate Equities: A More Refined, Long-Term Comparison (2005)Real Estate Valuation: The Effect of Market and Property Cycles (1994)Property shares, appraisals and the stock market: An international perspective (1996)Unit Roots and Structural Change (2011)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Style investing (2003)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)
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References

  • 2001The portfolio flows of international investors956 cited
  • 1992What Does the Stock Market Tell Us About Real Estate Returns?438 cited
  • 1993Estimating Market Values from Appraised Values without Assuming an Efficient Market420 cited
  • 1995Price Discovery in American and British Property Markets273 cited
  • 1990Equity Real Estate Investment Trusts and Real Estate Returns253 cited
  • 2001The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns229 cited
  • 1998The Portfolio Flows of International Investors, I211 cited
  • 1989Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns185 cited
  • 1993Temporal Aggregation in Real Estate Return Indices136 cited
  • 1989Bias in Appraisal‐Based Returns121 cited
  • 1988A Note on the use of Appraisal Data in Indexes of Performance Measurement93 cited
  • 2000International Real Estate Diversification: Empirical Tests using Hedged Indices88 cited
  • 1997Commercial Real Estate Prices and Stock Market Returns: An International Analysis85 cited

Cited by

  • 2012Are REITs Real Estate? Evidence from International Sector Level Data47 cited
  • 2020Volatility jumps and their determinants in REIT returns

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39 cited
  • 2010REITs and Correlations with Other Asset Classes: A European Perspective30 cited
  • 2013Commercial Real Estate and Equity Market Bubbles: Are They Contagious to REITs?27 cited