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Industry Concentration and U.S. REIT Returns
16 references·3 citing·42 second hop
Industry Concentration and U.S. REIT Returns (2019)Industry Concentration and U.S. REIT Retu…Returns and Information Transmission Dynamics in Public and Private Real Estate Markets (2015)Returns and Information Trans…Forecasting Real Estate Prices (2013)Forecasting Real Estate PricesProduct Market Competition and Industry Returns (2012)Product Market Competition an…The Cross Section of Expected REIT Returns (2003)The Cross Section of Expected…Industry Concentration and Average Stock Returns (2003)Industry Concentration and Av…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…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…International Evidence on Real Estate Securities as an Inflation Hedge (1997)International Evidence on Rea…Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs? (1997)Do Common Risk Factors in the…What Does the Stock Market Tell Us About Real Estate Returns? (1992)What Does the Stock Market Te…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Some recent development in a concept of causality (1988)Some recent development in a …Risk and the Performance of Real Estate Investment Trusts: A Multiple Index Approach (1986)Risk and the Performance of R…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Climate change and commercial property markets (2024)Climate change and commercial…Introducing “Focused Firms”: Implications from REIT Prime Operating Revenue (2021)Introducing “Focused Firms”: …The Effect of Legal Environment and Regulatory Structure on Performance: Cross-Country Evidence from REITs (2020)The Effect of Legal Environme…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)The relationship between return and market value of common stocks (1981)Common risk factors in the returns on stocks and bonds (1993)The information content of funds from operations (FFO) for real estate investment trusts (REITs) (1999)Intra-industry momentum: the case of REITs (2003)Multivariate Modeling of Daily REIT Volatility (2006)Asset returns and inflation (1977)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)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)Statistical analysis of cointegration vectors (1988)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Multifactor Explanations of Asset Pricing Anomalies (1996)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Does financial development cause economic growth? Time-series evidence from 16 countries (1996)The long-run and causal analysis of energy, growth, openness and financial development on carbon emissions in Turkey (2012)Determinants of CO2 emissions in the European Union: The role of renewable and non-renewable energy (2016)The Theory of Economic Development (2003)The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns (2017)Are US Industries Becoming More Concentrated? (2019)Taming the Factor Zoo: A Test of New Factors (2020)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)Chapter 15 Anomalies and market efficiency (2003)An Evaluation of Accounting-Based Measures of Expected Returns (2005)The Book‐to‐Price Effect in Stock Returns: Accounting for Leverage (2007)
this work references cited by second hop

References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1988Some recent development in a concept of causality2,982 cited
  • 2003Industry Concentration and Average Stock Returns923 cited
  • 2003The Cross Section of Expected REIT Returns518 cited
  • 1992What Does the Stock Market Tell Us About Real Estate Returns?438 cited
  • 2000Further Evidence on the Integration of REIT, Bond, and Stock Returns318 cited
  • 1997Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?210 cited
  • 2013Forecasting Real Estate Prices187 cited
  • 2012Product Market Competition and Industry Returns169 cited
  • 1986Risk and the Performance of Real Estate Investment Trusts: A Multiple Index Approach147 cited
  • 1998Institutional Investment in REITs: Evidence and Implications146 cited
  • 1997International Evidence on Real Estate Securities as an Inflation Hedge143 cited

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  • 2015Returns and Information Transmission Dynamics in Public and Private Real Estate Markets139 cited
  • Cited by

    • 2024Climate change and commercial property markets22 cited
    • 2020The Effect of Legal Environment and Regulatory Structure on Performance: Cross-Country Evidence from REITs19 cited
    • 2021Introducing “Focused Firms”: Implications from REIT Prime Operating Revenue16 cited