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Integration between the Asian REIT markets and macroeconomic variables
16 references·0 citing·46 second hopsampled
Integration between the Asian REIT markets and macroeconomic variables (2016)Integration between the Asian REIT market…Stock market response to monetary and fiscal policy shocks: Multi-country evidence (2012)Stock market response to mone…Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock (2010)Monetary Policy, Term Structu…Further Developments in the Study of Cointegrated Variables (2010)Further Developments in the S…Monetary Shocks and REIT Returns (2006)Monetary Shocks and REIT Retu…Long-Term Co-Memories and Short-Run Adjustment: Securitized Real Estate and Stock Markets (2005)Long-Term Co-Memories and Sho…The response of real estate investment trust returns to macroeconomic shocks (2003)The response of real estate i…REIT Returns and Inflation: Perverse or Reverse Causality Effects? (2002)REIT Returns and Inflation: P…REIT Characteristics and the Sensitivity of REIT Returns (2000)REIT Characteristics and the …Real Estate Returns and the Macroeconomy: Some Empirical Evidence from Real Estate Investment Trust Data, 1972-1991 (1994)Real Estate Returns and the M…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Risk and Return on Real Estate: Evidence from Equity REITs (1990)Risk and Return on Real Estat…Are REITs inflation hedges? (1990)Are REITs inflation hedges?Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Interest-Rate Sensitivity of Real Estate Investment Trusts (1988)Interest-Rate Sensitivity of …Economic Forces and the Stock Market (1986)Economic Forces and the Stock…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Common risk factors in the returns on stocks and bonds (1993)REITs and Idiosyncratic Risk (2004)Using ridge regression with genetic algorithm to enhance real estate appraisal forecasting (2012)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Macroeconomics and Reality (1980)Interactions Between Property and Equity Markets: An Investigation of Linkages in the United Kingdom 1972–1992 (1997)REIT Risk Premium Sensitivity and Interest Rates (2002)Real estate markets and the macroeconomy: A dynamic coherence framework (2012)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Some recent development in a concept of causality (1988)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Industry costs of equity (1997)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)A General Equilibrium Approach To Monetary Theory (1969)Are Government Bonds Net Wealth? 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(2011)Macroeconomic Factors and Corporate Capital Structure (2014)Do bank loans and local amenities explain Chinese urban house prices? (2015)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Performance measurement with the arbitrage pricing theory (1986)The predictability of returns on equity REITs and their co-movement with other assets (1992)The Integration of Commercial Real Estate Markets and Stock Markets (1999)Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)
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References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1990Risk and Return on Real Estate: Evidence from Equity REITs365 cited
  • 1994Real Estate Returns and the Macroeconomy: Some Empirical Evidence from Real Estate Investment Trust Data, 1972-1991185 cited
  • 2012Stock market response to monetary and fiscal policy shocks: Multi-country evidence168 cited
  • 2000REIT Characteristics and the Sensitivity of REIT Returns162 cited
  • 2010Further Developments in the Study of Cointegrated Variables156 cited
  • 2010Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock130 cited
  • 1988Interest-Rate Sensitivity of Real Estate Investment Trusts126 cited
  • 2003The response of real estate investment trust returns to macroeconomic shocks120 cited
  • 1990Are REITs inflation hedges?116 cited
  • 2005Long-Term Co-Memories and Short-Run Adjustment: Securitized Real Estate and Stock Markets111 cited
  • 2006Monetary Shocks and REIT Returns

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106 cited
  • 2002REIT Returns and Inflation: Perverse or Reverse Causality Effects?93 cited
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