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Real estate returns predictability revisited: novel evidence from the US REITs market
16 references·3 citing·55 second hop
Real estate returns predictability revisited: novel evidence from the US REITs market (2016)Real estate returns predictability revisi…Should Voting Be Mandatory? the Effect of Compulsory Voting Rules on Candidates' Political Platforms (2015)Should Voting Be Mandatory? t…Herding behavior in REITs: Novel tests and the role of financial crisis (2013)Herding behavior in REITs: No…Handbook of Economic Forecasting (2013)Handbook of Economic Forecast…Forecasting Real Estate Prices (2013)Forecasting Real Estate PricesFORECASTING INFLATION USING DYNAMIC MODEL AVERAGING* (2012)FORECASTING INFLATION USING D…Hierarchical Markov normal mixture models with applications to financial asset returns (2010)Hierarchical Markov normal mi…What moves housing markets: A variance decomposition of the rent–price ratio (2009)What moves housing markets: A…Asymmetric stock market volatility and the cyclical behavior of expected returns (2007)Asymmetric stock market volat…Bond Risk Premia (2005)Bond Risk PremiaHouse Price Dynamics: A Survey of Theoretical and Empirical Issues (2001)House Price Dynamics: A Surve…Estimating Capital Asset Price Indexes (1997)Estimating Capital Asset Pric…The Predictability of REIT Returns and Market Segmentation (1995)The Predictability of REIT Re…Real Estate Market Efficiency: Issues and Evidence (1995)Real Estate Market Efficiency…Testing the Present Value Relation for Housing Prices: Should I Leave My House in San Francisco? (1994)Testing the Present Value Rel…Bubbles in Metropolitan Housing Markets (1994)Bubbles in Metropolitan Housi…The predictability of returns on equity REITs and their co-movement with other assets (1992)The predictability of returns…Volatility jumps and their determinants in REIT returns (2020)Volatility jumps and their de…Impact of volatility and equity market uncertainty on herd behaviour: evidence from UK REITs (2018)Impact of volatility and equi…Does economic policy uncertainty forecast real housing returns in a panel of OECD countries? A Bayesian approach (2017)Does economic policy uncertai…Time Series Analysis: Forecasting and Control (1977)Macroeconomics and Reality (1980)Statistical analysis of cointegration vectors (1988)Chapter 4 Forecast Combinations (2006)Carbon Tail Risk (2018)Empirical Asset Pricing via Machine Learning (2020)The Efficiency of the Market for Single-Family Homes (1988)House Price Dynamics: The Role of Tax Policy and Demography (1991)Regional Evolutions (1992)A Simple Error Correction Model of House Prices (1999)Bank lending and property prices in Hong Kong (2004)The Long-Run Relationship between House Prices and Income: Evidence from Local Housing Markets (2006)The arbitrage theory of capital asset pricing (1976)Economic Forces and the Stock Market (1986)Business conditions and expected returns on stocks and bonds (1989)Economic Risk Factors and Commercial Real Estate Returns (1997)The Variation of Economic Risk Premiums in Real Estate Returns (1998)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2011)Oil and the short-term predictability of stock return volatility (2018)Anomalies and the Expected Market Return (2020)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Household expenditures, wages, rents (2010)Search and matching in the housing market (2012)An extrapolative model of house price dynamics (2017)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Explosive Bubbles in House Prices? 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(2011)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)An Economic Theory of Democracy. (1958)A Rational Theory of the Size of Government (1981)Political Economics: Explaining Economic Policy (2002)Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests (2014)Environmental pollution, hydropower energy consumption and economic growth: Evidence from G7 countries (2016)The heterogeneity dependence between crude oil price changes and industry stock market returns in China: Evidence from a quantile regression approach (2016)Assessing High House Prices: Bubbles, Fundamentals, and Misperceptions (2005)Bubble, Bubble, Where's the Housing Bubble? (2006)THE RENT‐PRICE RATIO FOR THE AGGREGATE STOCK OF OWNER‐OCCUPIED HOUSING (2008)
this work references cited by second hop

References

  • 2005Bond Risk Premia1,546 cited
  • 2013Handbook of Economic Forecasting1,216 cited
  • 1994Bubbles in Metropolitan Housing Markets541 cited
  • 2009What moves housing markets: A variance decomposition of the rent–price ratio450 cited
  • 2012FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*393 cited
  • 1992The predictability of returns on equity REITs and their co-movement with other assets284 cited
  • 1994Testing the Present Value Relation for Housing Prices: Should I Leave My House in San Francisco?250 cited
  • 2015Should Voting Be Mandatory? the Effect of Compulsory Voting Rules on Candidates' Political Platforms224 cited
  • 2007Asymmetric stock market volatility and the cyclical behavior of expected returns220 cited
  • 2013Forecasting Real Estate Prices187 cited
  • 2001House Price Dynamics: A Survey of Theoretical and Empirical Issues180 cited
  • 2013Herding behavior in REITs: Novel tests and the role of financial crisis160 cited
  • 2010Hierarchical Markov normal mixture models with applications to financial asset returns160 cited
  • 1997Estimating Capital Asset Price Indexes141 cited
  • 1995The Predictability of REIT Returns and Market Segmentation139 cited

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  • 1995Real Estate Market Efficiency: Issues and Evidence132 cited
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    • 2017Does economic policy uncertainty forecast real housing returns in a panel of OECD countries? A Bayesian approach80 cited
    • 2020Volatility jumps and their determinants in REIT returns39 cited
    • 2018Impact of volatility and equity market uncertainty on herd behaviour: evidence from UK REITs35 cited