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Trading Intensity and Real Estate Performance

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Author Info

  • Dirk Brounen

    ()

  • Piet Eichholtz
  • David Ling

Abstract

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File URL: http://hdl.handle.net/10.1007/s11146-007-9050-x
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Bibliographic Info

Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 35 (2007)
Issue (Month): 4 (November)
Pages: 449-474

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Handle: RePEc:kap:jrefec:v:35:y:2007:i:4:p:449-474

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Web page: http://www.springerlink.com/link.asp?id=102945

Related research

Keywords: Trading intensity; Turnover; Expansion;

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. 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.
  2. David C. Ling, 2005. "A Random Walk Down Main Street: Can Experts Predict Returns on Commercial Real Estate?," Journal of Real Estate Research, American Real Estate Society, vol. 27(2), pages 137-154.
  3. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
  4. Baker, Malcolm & Litov, Lubomir & Wachter, Jessica A. & Wurgler, Jeffrey, 2010. "Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(05), pages 1111-1131, October.
  5. Eichholtz, Piet & Koedijk, Kees & Schweitzer, Mark, 2001. "Global property investment and the costs of international diversification," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 349-366, June.
  6. Pat McAllister & Graeme Newell & George Matysiak, 2005. "An Evaluation Of The Performance Of UK Real Estate Forecasters," Real Estate & Planning Working Papers rep-wp2005-23, Henley Business School, Reading University.
  7. Chris Brooks & Sotiris Tsolacos, 2001. "International Evidence of the Predictability of Prices of Securititised Real Estate Assets: Econometric Models versus Neural Networks," ICMA Centre Discussion Papers in Finance icma-dp2001-08, Henley Business School, Reading University.
  8. Robert Kosowski & Allan Timmermann & Russ Wermers & Hal White, 2006. "Can Mutual Fund "Stars" Really Pick Stocks? New Evidence from a Bootstrap Analysis," Journal of Finance, American Finance Association, vol. 61(6), pages 2551-2595, December.
  9. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
  10. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
  11. Ferson, Wayne E & Harvey, Campbell R, 1991. "The Variation of Economic Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 385-415, April.
  12. Ling, David C & Naranjo, Andy & Ryngaert, Michael D, 2000. "The Predictability of Equity REIT Returns: Time Variation and Economic Significance," The Journal of Real Estate Finance and Economics, Springer, vol. 20(2), pages 117-36, March.
  13. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
  14. Kallberg, Jarl G. & Liu, Crocker L. & Trzcinka, Charles, 2000. "The Value Added from Investment Managers: An Examination of Funds of REITs," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(03), pages 387-408, September.
  15. Karolyi, G Andrew & Sanders, Anthony B, 1998. "The Variation of Economic Risk Premiums in Real Estate Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 17(3), pages 245-62, November.
  16. Engström, Stefan, 2000. "Costly Information, Diversification, and International Mutual Fund Performance," Working Paper Series in Economics and Finance 385, Stockholm School of Economics, revised 10 Nov 2001.
  17. Ling, David C & Naranjo, Andy, 1997. "Economic Risk Factors and Commercial Real Estate Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 14(3), pages 283-307, May.
  18. Mei, Jianping & Liu, Crocker H, 1994. "The Predictability of Real Estate Returns and Market Timing," The Journal of Real Estate Finance and Economics, Springer, vol. 8(2), pages 115-35, March.
  19. Liu, Crocker H & Mei, Jianping, 1992. "The Predictability of Returns on Equity REITs and Their Co-movement with Other Assets," The Journal of Real Estate Finance and Economics, Springer, vol. 5(4), pages 401-18, December.
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Citations

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Cited by:
  1. Shaun Bond & Paul Mitchell, 2010. "Alpha and Persistence in Real Estate Fund Performance," The Journal of Real Estate Finance and Economics, Springer, vol. 41(1), pages 53-79, July.
  2. David Geltner & Peiling Wei & David C. Ling, 2007. "Indices for Investment Benchmarking and Return Performance Analysis in Private Real Estate," International Real Estate Review, Asian Real Estate Society, vol. 10(1), pages 93-118.

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