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Forecasting EREIT Returns
16 references·1 citing·41 second hop
Forecasting EREIT Returns (2007)Forecasting EREIT ReturnsHouse Price Prediction: Hedonic Price Model vs. Artificial Neural Network (2004)House Price Prediction: Hedon…The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns (2003)The Relative Importance of St…Assessing the Forecasting Performance of Regime‐Switching, ARIMA and GARCH Models of House Prices (2003)Assessing the Forecasting Per…The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns (2001)The Time-Varying Nature of th…Predicting Housing Value: A Comparison of Multiple Regression Analysis and Artificial Neural Networks (2001)Predicting Housing Value: A C…Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)Further Evidence on the Integ…The Integration of Commercial Real Estate Markets and Stock Markets (1999)The Integration of Commercial…Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs? (1997)Do Common Risk Factors in the…An Exploration of Neural Networks and Its Application to Real Estate Valuation (1995)An Exploration of Neural Netw…Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)Estimating Market Values from…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…What Does the Stock Market Tell Us About Real Estate Returns? (1992)What Does the Stock Market Te…Risk and Return on Real Estate: Evidence from Equity REITs (1990)Risk and Return on Real Estat…Equity Real Estate Investment Trusts and Real Estate Returns (1990)Equity Real Estate Investment…The Total Cost of Transactions on the NYSE (1988)The Total Cost of Transaction…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Searching for a Common Factor in Public and Private Real Estate Returns (2013)Searching for a Common Factor…Investigating 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)A New Class of Tests of Contagion With Applications (2010)Hedonic prices, price indices and housing markets (1978)Choice of functional form for hedonic price equations (1981)The Value of Housing Characteristics: A Meta Analysis (2006)Neural Network Hedonic Pricing Models in Mass Real Estate Appraisal (2009)Mass appraisal of residential apartments: An application of Random forest for valuation and a CART-based approach for model diagnostics (2011)The Efficiency of the Market for Single-Family Homes (1988)Forecasting Prices and Excess Returns in the Housing Market (1990)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)Asset returns and inflation (1977)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Do Real Estate Prices and Stock Prices Move Together? An International Analysis (1999)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)The Cost of Transacting (1968)PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE (1972)An Investigation of Transactions Data for NYSE Stocks (1985)Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems (1998)International Evidence on Institutional Trading Behavior and Price Impact (2004)Very fast money: High-frequency trading on the NASDAQ (2013)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)The arbitrage theory of capital asset pricing (1976)Economic Forces and the Stock Market (1986)Performance measurement with the arbitrage pricing theory (1986)The predictability of returns on equity REITs and their co-movement with other assets (1992)Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices (2003)Markets contagion during financial crisis: A regime-switching approach (2010)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1992What Does the Stock Market Tell Us About Real Estate Returns?438 cited
  • 1993Estimating Market Values from Appraised Values without Assuming an Efficient Market420 cited
  • 1990Risk and Return on Real Estate: Evidence from Equity REITs365 cited
  • 2000Further Evidence on the Integration of REIT, Bond, and Stock Returns318 cited
  • 1988The Total Cost of Transactions on the NYSE316 cited
  • 2001Predicting Housing Value: A Comparison of Multiple Regression Analysis and Artificial Neural Networks313 cited
  • 1999The Integration of Commercial Real Estate Markets and Stock Markets290 cited
  • 1995An Exploration of Neural Networks and Its Application to Real Estate Valuation266 cited
  • 2004House Price Prediction: Hedonic Price Model vs. Artificial Neural Network255 cited
  • 2003The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns254 cited
  • 1990Equity Real Estate Investment Trusts and Real Estate Returns253 cited
  • 2001The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns229 cited
  • 2003

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Assessing the Forecasting Performance of Regime‐Switching, ARIMA and GARCH Models of House Prices
227 cited
  • 1997Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?210 cited
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    • 2013Searching for a Common Factor in Public and Private Real Estate Returns29 cited