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Risk and return characteristics of property indices in emerging markets

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  • Barry, Christopher B.
  • Rodriguez, Mauricio

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Bibliographic Info

Article provided by Elsevier in its journal Emerging Markets Review.

Volume (Year): 5 (2004)
Issue (Month): 2 (June)
Pages: 131-159

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Handle: RePEc:eee:ememar:v:5:y:2004:i:2:p:131-159

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Web page: http://www.elsevier.com/locate/inca/620356

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References

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  1. Piet Eichholtz & Ronald Huisman & Kees Koedijk & Lisa Schuin, 1998. "Continental Factors in International Real Estate Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(3), pages 493-509.
  2. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
  3. Crocker H. Liu & Jianping Mei, 1998. "The Predictability of International Real Estate Markets, Exchange Rate Risks and Diversification Consequences," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(1), pages 3-39.
  4. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
  5. Geert Bekaert & Michael S. Urias, 1995. "Diversification, Integration and Emerging Market Closed-End Funds," NBER Working Papers 4990, National Bureau of Economic Research, Inc.
  6. Jarl G. Kallberg & Crocker H. Liu & Paolo Pasquariello, 2002. "Regime Shifts in Asian Equity and Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(2), pages 263-291.
  7. Fran├žois Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, 04.
  8. Simon Stevenson, 2000. "International Real Estate Diversification: Empirical Tests using Hedged Indices," Journal of Real Estate Research, American Real Estate Society, vol. 19(1), pages 105-131.
  9. Maureen O'Hara, 2003. "Presidential Address: Liquidity and Price Discovery," Journal of Finance, American Finance Association, vol. 58(4), pages 1335-1354, 08.
  10. Crocker H. Liu & David J. Hartzell & Martin E. Hoesli, 1997. "International Evidence on Real Estate Securities as an Inflation Hedge," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(2), pages 193-221.
  11. Shaun A. Bond & G. Andrew Karolyi & Anthony B. Sanders, 2003. "International Real Estate Returns: A Multifactor, Multicountry Approach," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(3), pages 481-500, 09.
  12. Daniel C. Quan & Sheridan Titman, 1999. "Do Real Estate Prices and Stock Prices Move Together? An International Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(2), pages 183-207.
  13. Ling, David C & Naranjo, Andy, 2002. "Commercial Real Estate Return Performance: A Cross-Country Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 24(1-2), pages 119-42, Jan.-Marc.
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Cited by:
  1. Smimou, Kamal & Karabegovic, Amela, 2010. "On the relationship between economic freedom and equity returns in the emerging markets: Evidence from the Middle East and North Africa (MENA) stock markets," Emerging Markets Review, Elsevier, vol. 11(2), pages 119-151, June.
  2. Yang-pin Shen & Chiuling Lu & Zong-Han Lin, 2012. "International Real Estate Mutual Fund Performance: Diversification or Costly Information?," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 394-413, April.

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