SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Liquidity, Return and Order‐Flow Linkages Between REITs and the Stock Market
16 references·6 citing·28 second hop
Liquidity, Return and Order‐Flow Linkages Between REITs and the Stock Market (2007)Liquidity, Return and Order‐Flow Linkages…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Is There a Bubble in the Housing Market? (2003)Is There a Bubble in the Hous…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Commonality in liquidity (2000)Commonality in liquidityA model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…Stock Prices and Volume (1992)Stock Prices and VolumeMeasuring the Information Content of Stock Trades (1991)Measuring the Information Con…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…A model of investor sentiment /A model of investor sentiment…On the Term Structure of Liquidity in the European Sovereign Bond Market (2018)On the Term Structure of Liqu…Contagion Channels between Real Estate and Financial Markets (2015)Contagion Channels between Re…REITS and Underlying Real Estate Markets: Is There a Link? (2011)REITS and Underlying Real Est…Dynamic modelling of real estate investment trusts and stock markets (2011)Dynamic modelling of real est…REIT Auditor Fees and Financial Market Transparency (2009)REIT Auditor Fees and Financi…Price Discovery in Real Estate Markets: A Dynamic Analysis (2009)Price Discovery in Real Estat…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Market Liquidity and Funding Liquidity (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A five-factor asset pricing model (2014)Judgment under Uncertainty: Heuristics and Biases (1974)The Cross-Section of Expected Stock Returns (1992)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Liquidity and leverage (2008)Judgment under Uncertainty: Heuristics and Biases (1975)In Search of Attention (2011)Noise Trader Risk in Financial Markets (1990)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)
this work references cited by second hop

References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.12,865 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2000Commonality in liquidity1,748 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 2001Market Liquidity and Trading Activity1,555 cited

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

  • 2003Is There a Bubble in the Housing Market?1,311 cited
  • 1992Stock Prices and Volume1,295 cited
  • Cited by

    • 2015Contagion Channels between Real Estate and Financial Markets56 cited
    • 2009Price Discovery in Real Estate Markets: A Dynamic Analysis51 cited
    • 2018On the Term Structure of Liquidity in the European Sovereign Bond Market28 cited
    • 2009REIT Auditor Fees and Financial Market Transparency27 cited
    • 2011Dynamic modelling of real estate investment trusts and stock markets24 cited
    • 2011REITS and Underlying Real Estate Markets: Is There a Link?24 cited