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An Investigation of the Change in Real Estate Investment Trust Betas
12 references·16 citing·44 second hopsampled
An Investigation of the Change in Real Estate Investment Trust Betas (1993)An Investigation of the Change in Real Es…What Does the Stock Market Tell Us About Real Estate Returns? (1992)What Does the Stock Market Te…Smoothing in appraisal-based returns (1991)Smoothing in appraisal-based …An Examination of the Small-Firm Effect within the REIT Industry (1991)An Examination of the Small-F…Real Estate Risk and the Business Cycle: Evidence from Security Markets (1990)Real Estate Risk and the Busi…A Note on the use of Appraisal Data in Indexes of Performance Measurement (1988)A Note on the use of Appraisa…Expected stock returns and volatility (1987)Expected stock returns and vo…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Diversification Categories in Investment Real Estate (1986)Diversification Categories in…Real Estate Investment Funds: Performance and Portfolio Considerations (1984)Real Estate Investment Funds:…Differential information and the small firm effect (1984)Differential information and …THE NEGLECTED AND SMALL FIRM EFFECTS (1982)THE NEGLECTED AND SMALL FIRM …Historic Returns and Institutional Real Estate Portfolios (1982)Historic Returns and Institut…Spillover Risks in REITs and other Asset Markets (2016)Spillover Risks in REITs and …Investor attention and the expected returns of reits (2016)Investor attention and the ex…A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns, Risks and Distributional Characteristics (2014)A Comparative Anatomy of Resi…The Changing Benefit of REITs to the Mixed-Asset Portfolio (2010)The Changing Benefit of REITs…Time‐varying performance of four Asia‐Pacific REITs (2008)Time‐varying performance of f…Liquidity, Return and Order‐Flow Linkages Between REITs and the Stock Market (2007)Liquidity, Return and Order‐F…Forecasting EREIT Returns (2007)Forecasting EREIT ReturnsREIT Returns and Pricing: The Small Cap Value Stock Factor (2005)REIT Returns and Pricing: The…On the Time‐Series Properties of Real Estate Investment Trust Betas (2005)On the Time‐Series Properties…REIT and REOC Systematic Risk Sensitivity (2004)REIT and REOC Systematic Risk…REIT Property-Type Sector Integration (2000)REIT Property-Type Sector Int…An Analysis of the Cross Section of Returns for EREITs Using a Varying‐Risk Beta Model (2000)An Analysis of the Cross Sect…Is the Information Deficiency in Real Estate Evident in Public Market Trading? (1999)Is the Information Deficiency…Property shares, appraisals and the stock market: An international perspective (1996)Property shares, appraisals a…The Historical Environment of Real Estate Returns (1995)The Historical Environment of…Does the REIT Stock Market Resemble the General Stock Market? (1995)Does the REIT Stock Market Re…Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)The relationship between return and market value of common stocks (1981)Economies-of-Scale for Real Estate Investment Trusts (1997)Commercial Real Estate Return Performance: A Cross-Country Analysis (2002)Technical efficiency and economies of scale: A non-parametric analysis of REIT operating efficiency (2002)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Risk, Return, and Equilibrium: Empirical Tests (1973)Measuring security price performance (1980)Information and the Cost of Capital (2002)Information Asymmetry, Information Precision, and the Cost of Capital (2011)Does Integrated Reporting Matter to the Capital Market? (2017)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Equilibrium in a Capital Asset Market (1966)The arbitrage theory of capital asset pricing (1976)Real Estate Returns and Inflation (1987)Price formation and the appraisal function in real estate markets (1991)Asset returns and inflation (1977)Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)Do Real Estate Prices and Stock Prices Move Together? An International Analysis (1999)Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)Mutual Fund Performance (1966)An Empirical Evaluation of Alternative Portfolio-Selection Models (1967)Portfolio Theory and Capital Markets. (1972)Investment Analysis and Portfolio Management. (1979)Financial Theory and Corporate Policy. (1980)Misspecification of capital asset pricing (1981)Limited information as a source of risk (1986)Information and Diversity of Analyst Opinion (1992)Information Costs and Liquidity Effects from Changes in the Dow Jones Industrial Average List (1995)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Value indices of commercial real estate: A comparison of index construction methods (1994)The Integration of Commercial Real Estate Markets and Stock Markets (1999)Refining the Analysis of Regional Diversification for Income-Producing Real Estate (1987)Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns (1989)International Evidence on Real Estate Securities as an Inflation Hedge (1997)
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References

  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1984Differential information and the small firm effect527 cited
  • 1992What Does the Stock Market Tell Us About Real Estate Returns?438 cited
  • 1991Smoothing in appraisal-based returns425 cited
  • 1986Diversification Categories in Investment Real Estate266 cited
  • 1984Real Estate Investment Funds: Performance and Portfolio Considerations224 cited
  • 1982THE NEGLECTED AND SMALL FIRM EFFECTS167 cited
  • 1982Historic Returns and Institutional Real Estate Portfolios126 cited
  • 1991An Examination of the Small-Firm Effect within the REIT Industry106 cited
  • 1988A Note on the use of Appraisal Data in Indexes of Performance Measurement93 cited
  • 1990Real Estate Risk and the Business Cycle: Evidence from Security Markets90 cited

Cited by

  • 1996Property shares, appraisals and the stock market: An international perspective101 cited
  • 2007Liquidity, Return and Order‐Flow Linkages Between REITs and the Stock Market75 cited
  • 2005On the Time‐Series Properties of Real Estate Investment Trust Betas

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74 cited
  • 1995Does the REIT Stock Market Resemble the General Stock Market?72 cited
  • 2016Investor attention and the expected returns of reits61 cited
  • 1995The Historical Environment of Real Estate Returns61 cited
  • 2004REIT and REOC Systematic Risk Sensitivity58 cited
  • 2005REIT Returns and Pricing: The Small Cap Value Stock Factor55 cited
  • 1999Is the Information Deficiency in Real Estate Evident in Public Market Trading?49 cited
  • 2016Spillover Risks in REITs and other Asset Markets42 cited
  • 2014A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns, Risks and Distributional Characteristics40 cited
  • 2007Forecasting EREIT Returns38 cited
  • 2010The Changing Benefit of REITs to the Mixed-Asset Portfolio32 cited
  • 2008Time‐varying performance of four Asia‐Pacific REITs31 cited
  • 2000REIT Property-Type Sector Integration31 cited
  • 2000An Analysis of the Cross Section of Returns for EREITs Using a Varying‐Risk Beta Model31 cited