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The nature of listed real estate companies: property or equity market?

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  • Jaroslaw Morawski

    ()

  • Heinz Rehkugler

    ()

  • Roland Füss

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s11408-008-0075-9
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Bibliographic Info

Article provided by Springer in its journal Financial Markets and Portfolio Management.

Volume (Year): 22 (2008)
Issue (Month): 2 (June)
Pages: 101-126

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Handle: RePEc:kap:fmktpm:v:22:y:2008:i:2:p:101-126

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Web page: http://www.springerlink.com/link.asp?id=119763

Related research

Keywords: Private real estate; Property companies; Real estate investment trusts (REITs); Stock market; Investment horizon; C12; G11; L85;

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References

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  1. Karl E. Case & Robert J. Shiller, 1988. "The Efficiency of the Market for Single-Family Homes," NBER Working Papers 2506, National Bureau of Economic Research, Inc.
  2. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  3. Roland Füss & Dieter Kaiser, 2007. "The tactical and strategic value of hedge fund strategies: a cointegration approach," Financial Markets and Portfolio Management, Springer, vol. 21(4), pages 425-444, December.
  4. Cheung, Yin-Wong & Lai, Kon S, 1993. "Finite-Sample Sizes of Johansen's Likelihood Ration Tests for Conintegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(3), pages 313-28, August.
  5. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
  6. Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
  7. Yuming Li & Ko Wang, 1995. "The Predictability of REIT Returns and Market Segmentatio," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 471-482.
  8. Karl L. Guntermann & Richard L. Smith, 1987. "Efficiency of the Market for Residential Real Estate," Land Economics, University of Wisconsin Press, vol. 63(1), pages 34-45.
  9. William N. Goetzmann & Roger G. Ibbotson, 1990. "The Performance Of Real Estate As An Asset Class," Journal of Applied Corporate Finance, Morgan Stanley, vol. 3(1), pages 65-76.
  10. David M. Geltner, 1993. "Estimating Market Values from Appraised Values without Assuming an Efficient Market," Journal of Real Estate Research, American Real Estate Society, vol. 8(3), pages 325-346.
  11. James R. Follairi, 1989. "Inferring an Investment Return Series for Real Estate from Observations on Sales," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 17(2), pages 231-234.
  12. David Geltner & Brian Kluger, 1998. "REIT-Based Pure-Play Portfolios: The Case of Property Types," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(4), pages 581-612.
  13. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  14. S. Michael Giliberto, 1990. "Equity Real Estate Investment Trusts and Real Estate Returns," Journal of Real Estate Research, American Real Estate Society, vol. 5(2), pages 259-264.
  15. Diery Seck, 1996. "The Substitutability of Real Estate Assets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 24(1), pages 75-95.
  16. Daniel C. Quan & John M. Quigley, 1989. "Inferring an Investment Return Series for Real Estate from Observations on Sales," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 17(2), pages 218-230.
  17. Corgel, John B & deRoos, Jan A, 1999. "Recovery of Real Estate Returns for Portfolio Allocation," The Journal of Real Estate Finance and Economics, Springer, vol. 18(3), pages 279-96, May.
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Citations

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Cited by:
  1. Walter Boudry & N. Coulson & Jarl Kallberg & Crocker Liu, 2012. "On the Hybrid Nature of REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 44(1), pages 230-249, January.
  2. Schindler, Felix, 2009. "Long-term benefits from investing in international real estate," ZEW Discussion Papers 09-023, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  3. Kim Hiang Liow & Felix Schindler, 2014. "An Assessment of the Relationship between Public Real Estate and Stock Markets at the Local, Regional, and Global Levels," International Real Estate Review, Asian Real Estate Society, vol. 17(2), pages 157-202.

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