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REITs and the financial crisis: Empirical evidence from the U.S.
16 references·2 citing·49 second hop
REITs and the financial crisis: Empirical evidence from the U.S. (2009)REITs and the financial crisis: Empirical…The Federal Response to Home Mortgage Distress: Lessons from the Great Depression (2008)The Federal Response to Home …The Case for REITs in the Mixed-Asset Portfolio in the Short and Long Run (2005)The Case for REITs in the Mix…An Examination of Volatility Spillovers in REIT Returns (2002)An Examination of Volatility …The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns (2001)The Time-Varying Nature of th…Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)Further Evidence on the Integ…Time-Series Properties and Diversification Benefits of REIT Returns (1999)Time-Series Properties and Di…REIT Style and Performance (1998)REIT Style and PerformanceU.S. REITs as an Asset Class in International Investment Portfolios (1997)U.S. REITs as an Asset Class …The Historical Performance of Real Estate Investment Trusts (1995)The Historical Performance of…The Effect of Interest-Rate Movements on Real Estate Investment Trusts (1995)The Effect of Interest-Rate M…Real Estate Investment Trusts: A Review of the Financial Economics Literature (1995)Real Estate Investment Trusts…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison (1993)Return Properties of Equity R…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Equity Real Estate Investment Trusts and Real Estate Returns (1990)Equity Real Estate Investment…Portfolio Diversification and Return Benefits— Common Stock vs. Real Estate Investment Trusts (REITs) (1987)Portfolio Diversification and…Multi-period portfolio selection under the coherent fuzzy environment with dynamic risk-tolerance and expected-return levels (2021)Multi-period portfolio select…The stock market impact of government interventions on financial services industry groups: Evidence from the 2007–2009 crisis (2013)The stock market impact of go…Corporate financing and investment decisions when firms have information that investors do not have (1984)What Does the Stock Market Tell Us About Real Estate Returns? (1992)Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)Diversification Issues in Real Estate Investment (1999)Diversification Benefits from Foreign Real Estate Investments (2002)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Real Estate Investment Funds: Performance and Portfolio Considerations (1984)Risk and Return on Real Estate: Evidence from Equity REITs (1990)Hotel Real Estate Investment Trusts' Risk Features and Beta Determinants (2002)REITs and Idiosyncratic Risk (2004)Investor Sentiment and REIT Returns (2008)Permanent and Temporary Components of Stock Prices (1988)Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Closed‐End Fund Puzzle (1991)Real estate is not normal: A fresh look at real estate return distributions (1995)Appraisal Smoothing and Price Discovery in Real Estate Markets (2003)Are REITs real estate? Evidence from international sector level data (2012)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 Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns (2003)A New Class of Tests of Contagion With Applications (2010)Implications of Security Market Data for Models of Dynamic Economies (1990)The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)Time-varying correlation between stock market returns and real estate returns (2012)Macro Asset Allocation with Social Impact Investments (2019)How resilient are REITs to a pandemic? The COVID-19 effect (2020)The Econometric Analysis of Time Series. (1983)Commercial Real Estate Analysis and Investments (2000)Multivariate Modeling of Daily REIT Volatility (2006)Dynamic Correlations Among Asset Classes: REIT and Stock Returns (2010)The arbitrage theory of capital asset pricing (1976)Price Discovery in American and British Property Markets (1995)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Housing price volatility and its determinants (2009)Return and Volatility Transmission in U.S. Housing Markets (2011)Dynamics of international spillovers and interaction: Evidence from financial market stress and economic policy uncertainty (2017)
this work references cited by second hop

References

  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 2000Further Evidence on the Integration of REIT, Bond, and Stock Returns318 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
  • 1993Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison207 cited
  • 1995The Historical Performance of Real Estate Investment Trusts117 cited
  • 1995Real Estate Investment Trusts: A Review of the Financial Economics Literature110 cited
  • 2005The Case for REITs in the Mixed-Asset Portfolio in the Short and Long Run109 cited
  • 2002An Examination of Volatility Spillovers in REIT Returns107 cited
  • 1999Time-Series Properties and Diversification Benefits of REIT Returns104 cited
  • 1995The Effect of Interest-Rate Movements on Real Estate Investment Trusts98 cited
  • 2008The Federal Response to Home Mortgage Distress: Lessons from the Great Depression91 cited
  • 1987Portfolio Diversification and Return Benefits— Common Stock vs. Real Estate Investment Trusts (REITs)90 cited

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  • 1997U.S. REITs as an Asset Class in International Investment Portfolios87 cited
  • 1998REIT Style and Performance74 cited
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    • 2021Multi-period portfolio selection under the coherent fuzzy environment with dynamic risk-tolerance and expected-return levels38 cited
    • 2013The stock market impact of government interventions on financial services industry groups: Evidence from the 2007–2009 crisis26 cited