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The Changing Importance of Sector and Regional Factors in Real Estate Returns: 1987–2002
16 references·0 citing·44 second hop
The Changing Importance of Sector and Regional Factors in Real Estate Returns: 1987–2002 (2007)The Changing Importance of Sector and Reg…The Increasing Importance of Industry Factors (2000)The Increasing Importance of …European Equity Markets and the EMU (2000)European Equity Markets and t…Dispersion as Cross-Sectional Correlation (2000)Dispersion as Cross-Sectional…European Equity Markets and the EMU (1999)European Equity Markets and t…Another look at the role of the industrial structure of markets for international diversification strategies1We are especially grateful to Pat Casey and Virge Cavalli at Dow Jones for providing the Dow Jones World Stock Index data and for their assistance with numerous queries. We gratefully acknowledge the comments of Geert Bekaert, William Brigham, Shane Corwin, Steve Foerster, Jeff Harris, Steve Heston, Ajay Khorana, David Mayers, John Persons, René Stulz, and particularly, the referee (Geert Rouwenhorst) and editor (John Long). We also thank participants at the University of Alberta, University of Toronto and Ohio State University, the 1996 UBC Global Investment Conference (Whistler), 1996 International Finance Conference (Georgia Tech), 1996 Western Finance Association Conference, and 1996 Financial Management Association Conference for helpful suggestions. Karolyi thanks the Dice Center for Financial Economics and the Social Sciences and Humanities Research Council of Canada for financial support.1 (1998)Another look at the role of t…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…National versus Global Influences on Equity Returns (1996)National versus Global Influe…Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies (1996)Another Look at the Role of t…Real estate portfolio diversification by property type and region (1995)Real estate portfolio diversi…Industry and Country Effects in International Stock Returns (1995)Industry and Country Effects …Does industrial structure explain the benefits of international diversification? (1994)Does industrial structure exp…Property investment and the capital markets (1991)Property investment and the c…Business Cycles: Real Facts and a Monetary Myth (1990)Business Cycles: Real Facts a…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…Post-War U.S. Business Cycles: An Empirical Investigation (1981)Post-War U.S. Business Cycles…Risk, Return, and Equilibrium: Empirical Tests (1973)Correlations in Price Changes and Volatility across International Stock Markets (1990)Time‐Varying World Market Integration (1995)Volatility Spillover Effects in European Equity Markets (2002)Stock market synchronization and monetary integration (2010)Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures (2016)A Monetary History of the United States 1867-1960 (1964)A Monetary History of the United States, 1867-1960 (1964)International Evidence on the Historical Properties of Business Cycles (1991)Inflation crises and long-run growth (1998)Beyond carbon pricing: The role of banking and monetary policy in financing the transition to a low-carbon economy (2016)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)International Diversification of Investment Portfolios (1970)International Portfolio Choice and Corporation Finance: A Synthesis (1983)Market Integration and Investment Barriers in Emerging Equity Markets (1995)Volatility Spillover Effects in European Equity Markets (2005)Global market integration: An alternative measure and its application☆ (2009)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Macroeconomics and Reality (1980)The Band Pass Filter (1999)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)Measuring Uncertainty (2015)Why Not Diversify Internationally Rather Than Domestically? (1974)Modern Investment Management: An Equilibrium Approach (2003)Market and Industry Factors in Stock Price Behavior (1966)Economic Forces and the Stock Market (1986)The rise in comovement across national stock markets: market integration or IT bubble? (2004)Comovement in international equity markets: A sectoral view (2005)European banking: An overview (2007)Can the Gains from International Diversification Be Achieved without Trading Abroad? (1999)International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns (2001)Stocks, bonds, money markets and exchange rates: measuring international financial transmission (2010)Real Business Cycles (1983)Indivisible labor and the business cycle (1985)Bank-specific, industry-specific and macroeconomic determinants of bank profitability (2006)
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References

  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1988Trends and random walks in macroeconomic time series2,433 cited
  • 1990Business Cycles: Real Facts and a Monetary Myth812 cited
  • 1994Does industrial structure explain the benefits of international diversification?746 cited
  • 1981Post-War U.S. Business Cycles: An Empirical Investigation636 cited
  • 2000The Increasing Importance of Industry Factors457 cited
  • 1998Another look at the role of the industrial structure of markets for international diversification strategies1We are especially grateful to Pat Casey and Virge Cavalli at Dow Jones for providing the Dow Jones World Stock Index data and for their assistance with numerous queries. We gratefully acknowledge the comments of Geert Bekaert, William Brigham, Shane Corwin, Steve Foerster, Jeff Harris, Steve Heston, Ajay Khorana, David Mayers, John Persons, René Stulz, and particularly, the referee (Geert Rouwenhorst) and editor (John Long). We also thank participants at the University of Alberta, University of Toronto and Ohio State University, the 1996 UBC Global Investment Conference (Whistler), 1996 International Finance Conference (Georgia Tech), 1996 Western Finance Association Conference, and 1996 Financial Management Association Conference for helpful suggestions. Karolyi thanks the Dice Center for Financial Economics and the Social Sciences and Humanities Research Council of Canada for financial support.1377 cited
  • 1995Industry and Country Effects in International Stock Returns225 cited
  • 1996Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies194 cited
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European Equity Markets and the EMU
172 cited
  • 1996National versus Global Influences on Equity Returns162 cited
  • 2000Dispersion as Cross-Sectional Correlation158 cited
  • 1991Property investment and the capital markets144 cited
  • 2000European Equity Markets and the EMU117 cited
  • 1995Real estate portfolio diversification by property type and region112 cited
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