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Public and Private Real Estate in a Mixed-Asset Portfolio
5 references·12 citing·42 second hop
Public and Private Real Estate in a Mixed-Asset Portfolio (2003)Public and Private Real Estate in a Mixed…Institutional Investors’ Preferences for REIT Stocks (2002)Institutional Investors’ Pref…Market Efficiency and Return Statistics: Evidence from Real Estate and Stock Markets Using a Present‐Value Approach (2001)Market Efficiency and Return …The Integration of Commercial Real Estate Markets and Stock Markets (1999)The Integration of Commercial…Do Real Estate Prices and Stock Prices Move Together? An International Analysis (1999)Do Real Estate Prices and Sto…Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)Estimating Market Values from…Volatility jumps and their determinants in REIT returns (2020)Volatility jumps and their de…Co-movement across european stock and real estate markets (2020)Co-movement across european s…Are REITs Real Estate? Evidence from International Sector Level Data (2012)Are REITs Real Estate? Eviden…The Changing Benefit of REITs to the Mixed-Asset Portfolio (2010)The Changing Benefit of REITs…REITs and Correlations with Other Asset Classes: A European Perspective (2010)REITs and Correlations with O…Real Estate in an ALM Framework: The Case of Fair Value Accounting (2010)Real Estate in an ALM Framewo…Dynamic Interactions Between Private and Public Real Estate Markets: Some International Evidence (2010)Dynamic Interactions Between …The role of Malaysian securitised real estate in a mixed‐asset portfolio (2009)The role of Malaysian securit…Conditional Correlations and Real Estate Investment Trusts (2009)Conditional Correlations and …The Role of Non-Traditional Real Estate Sectors in REIT Portfolios (2006)The Role of Non-Traditional R…Real Estate in the Real World: Dealing with Non-Normality and Risk in an Asset Allocation Model (2005)Real Estate in the Real World…How Funding Ratios Affect Pension Plan Portfolio Allocations (2005)How Funding Ratios Affect Pen…The Efficiency of the Market for Single-Family Homes (1988)Forecasting Prices and Excess Returns in the Housing Market (1990)What Does the Stock Market Tell Us About Real Estate Returns? (1992)Value indices of commercial real estate: A comparison of index construction methods (1994)Price Discovery in American and British Property Markets (1995)Strategic asset allocation with liabilities: Beyond stocks and bonds (2008)A Theory of the Term Structure of Interest Rates (1985)Generalized autoregressive conditional heteroskedasticity (1986)Dynamic Conditional Correlation (2002)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Permanent and Temporary Components of Stock Prices (1988)The Causal Relationship Between Real Estate and Stock Markets (2000)Asset market linkages: Evidence from financial, commodity and real estate assets (2010)Markets contagion during financial crisis: A regime-switching approach (2010)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)The emergence and performance of German REITs (2017)The evolution of Belgium REITs (2019)Analysing the relationship between global REITs and exchange rates: Fresh evidence from frequency-based quantile regressions (2021)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The cost of capital, corporation finance and the theory of investment (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Historical Returns of the Market Portfolio (2017)Commercial real estate prices and COVID-19 (2021)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices (2003)The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns (2003)Capital market equilibrium in a mean-lower partial moment framework (1977)Asset Allocation in a Downside Risk Framework (2000)Beyond Correlation: Extreme Co-Movements between Financial Assets (2002)Non‐Normal Real Estate Return Distributions by Property Type in the UK (2006)Option pricing when underlying stock returns are discontinuous (1976)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)REIT Institutional Ownership Dynamics and the Financial Crisis (2012)An Investigation into Sentiment-Induced Institutional Trading Behavior and Asset Pricing in the REIT Market (2014)Information and communication technology in the real estate industry: productivity, industry structure and market efficiency (2005)Momentum in Residential Real Estate (2009)Forecasting Residential Real Estate Price Changes from Online Search Activity (2013)
this work references cited by second hop

References

  • 1993Estimating Market Values from Appraised Values without Assuming an Efficient Market420 cited
  • 1999Do Real Estate Prices and Stock Prices Move Together? An International Analysis294 cited
  • 1999The Integration of Commercial Real Estate Markets and Stock Markets290 cited
  • 2002Institutional Investors’ Preferences for REIT Stocks86 cited
  • 2001Market Efficiency and Return Statistics: Evidence from Real Estate and Stock Markets Using a Present‐Value Approach77 cited

Cited by

  • 2010Dynamic Interactions Between Private and Public Real Estate Markets: Some International Evidence82 cited
  • 2012Are REITs Real Estate? Evidence from International Sector Level Data47 cited
  • 2005Real Estate in the Real World: Dealing with Non-Normality and Risk in an Asset Allocation Model43 cited
  • 2009Conditional Correlations and Real Estate Investment Trusts42 cited
  • 2020Volatility jumps and their determinants in REIT returns39 cited
  • 2009The role of Malaysian securitised real estate in a mixed‐asset portfolio39 cited
  • 2010The Changing Benefit of REITs to the Mixed-Asset Portfolio32 cited
  • 2020Co-movement across european stock and real estate markets31 cited
  • 2010REITs and Correlations with Other Asset Classes: A European Perspective30 cited

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  • 2006The Role of Non-Traditional Real Estate Sectors in REIT Portfolios25 cited
  • 2010Real Estate in an ALM Framework: The Case of Fair Value Accounting24 cited
  • 2005How Funding Ratios Affect Pension Plan Portfolio Allocations18 cited