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Spanning Tests on Public and Private Real Estate
15 references·0 citing·54 second hopsampled
Spanning Tests on Public and Private Real Estate (2007)Spanning Tests on Public and Private Real…On the Time‐Series Properties of Real Estate Investment Trust Betas (2005)On the Time‐Series Properties…Finance, Investment and Investment Performance: Evidence from the REIT Sector (2005)Finance, Investment and Inves…Changes in REIT Structure and Stock Performance: Evidence from the Monday Stock Anomaly (2005)Changes in REIT Structure and…The REIT Modernization Act of 1999 (2004)The REIT Modernization Act of…Public and Private Real Estate in a Mixed-Asset Portfolio (2003)Public and Private Real Estat…Institutional involvement and the REIT January effect over time (2003)Institutional involvement and…REITs in the decentralized investment industry (2002)REITs in the decentralized in…The Impact of the Revenue Reconciliation Act of 1993 on the Pricing Structure of Equity REITs (2000)The Impact of the Revenue Rec…Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)Further Evidence on the Integ…Institutional Investment in REITs: Evidence and Implications (1998)Institutional Investment in R…U.S. REITs as an Asset Class in International Investment Portfolios (1997)U.S. REITs as an Asset Class …Value indices of commercial real estate: A comparison of index construction methods (1994)Value indices of commercial r…General Tests of Latent Variable Models and Mean-Variance Spanning (1993)General Tests of Latent Varia…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Mean-Variance Spanning (1987)Mean-Variance SpanningInvestigating 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 Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns (2001)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)Shareholder Activism by Institutional Investors: Evidence from CalPERS (1996)Large Shareholders as Monitors: Is There a Trade‐Off between Liquidity and Control? (1998)Ownership Structure, Speculation, and Shareholder Intervention (1998)Intra-industry momentum: the case of REITs (2003)Real Estate Risk Exposure of Equity Real Estate Investment Trusts (2007)Investor Sentiment and REIT Returns (2008)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)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Asset returns and inflation (1977)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Permanent and Temporary Components of Stock Prices (1988)Price Discovery in American and British Property Markets (1995)Appraisal Smoothing and Price Discovery in Real Estate Markets (2003)Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices (2003)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Specification tests of asset pricing models using excess returns (2008)Time Variation in Diversification Benefits of Commodity, REITs, and TIPS (2011)On the diversification benefits of commodities from the perspective of euro investors (2012)A General Equilibrium Approach To Monetary Theory (1969)Corporate financing and investment decisions when firms have information that investors do not have (1984)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)REIT Dividend Determinants: Excess Dividends and Capital Markets (2008)Further Evidence on the Capital Structure of REITs (2010)REIT and Commercial Real Estate Returns: A Post Mortem of the Financial Crisis (2013)Mutual Fund Performance (1966)Smoothing in appraisal-based returns (1991)What Does the Stock Market Tell Us About Real Estate Returns? (1992)REITs and Idiosyncratic Risk (2004)Correlation and Volatility Dynamics in REIT Returns: Performance and Portfolio Considerations (2010)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The empirical foundations of the arbitrage pricing theory (1988)Diversification, Integration and Emerging Market Closed‐End Funds (1996)Can the Gains from International Diversification Be Achieved without Trading Abroad? (1999)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Further Evidence on the Performance of Funds of Funds: The Case of Real Estate Mutual Funds (2008)Pricing of Volatility Risk in REITs (2013)Why Do REIT Returns Poorly Reflect Property Returns? Unrealizable Appreciation Gains due to Trading Constraints as the Solution to the Short‐Term Disparity (2013)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)The Integration of Commercial Real Estate Markets and Stock Markets (1999)Dynamic Interactions Between Private and Public Real Estate Markets: Some International Evidence (2010)Slicing, Dicing, and Scoping the Size of the U.S. Commercial Real Estate Market (2010)Are REITs Real Estate? Evidence from International Sector Level Data (2012)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1987Mean-Variance Spanning590 cited
  • 2000Further Evidence on the Integration of REIT, Bond, and Stock Returns318 cited
  • 1994Value indices of commercial real estate: A comparison of index construction methods286 cited
  • 1998Institutional Investment in REITs: Evidence and Implications146 cited
  • 2005Finance, Investment and Investment Performance: Evidence from the REIT Sector139 cited
  • 1993General Tests of Latent Variable Models and Mean-Variance Spanning100 cited
  • 2003Public and Private Real Estate in a Mixed-Asset Portfolio94 cited
  • 1997U.S. REITs as an Asset Class in International Investment Portfolios87 cited
  • 2005On the Time‐Series Properties of Real Estate Investment Trust Betas74 cited
  • 2005Changes in REIT Structure and Stock Performance: Evidence from the Monday Stock Anomaly72 cited
  • 2002REITs in the decentralized investment industry55 cited
  • 2004The REIT Modernization Act of 199938 cited
  • 2000The Impact of the Revenue Reconciliation Act of 1993 on the Pricing Structure of Equity REITs29 cited
  • 2003Institutional involvement and the REIT January effect over time

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