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• John L. Glascock

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

Volume (Year): 37 (2008)
Issue (Month): 1 (July)
Pages: 51-69
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:jrefec:v:37:y:2008:i:1:p:51-69

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Related research

Keywords: Real Estate Investment Trusts (REIT); Momentum predictability; Market states; Dividend-growth-rate model;

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.:

1. Chui, Andy C. W. & Titman, Sheridan & Wei, K. C. John, 2003. "Intra-industry momentum: the case of REITs," Journal of Financial Markets, Elsevier, vol. 6(3), pages 363-387, May. [Downloadable!] (restricted)
2. Michael J. Cooper & Roberto C. Gutierrez & Allaudeen Hameed, 2004. "Market States and Momentum," Journal of Finance, American Finance Association, vol. 59(3), pages 1345-1365, 06. [Downloadable!] (restricted)
3. John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 36-58. [Downloadable!]
   Other versions:
   • John H. Cochrane, 1999. "New Facts in Finance," CRSP working papers 490, Center for Research in Security Prices, Graduate School of Business, University of Chicago. [Downloadable!]
   • John H. Cochrane, 1999. "New Facts in Finance," NBER Working Papers 7169, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
4. Mitchell C. Conover & H. Swint Friday & Shelly W. Howton, 2000. "An Analysis of the Cross Section of Returns for EREITs Using a Varying-Risk Beta Model," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 28(1), pages 141-163. [Downloadable!] (restricted)
5. Fabozzi, Frank J & Francis, Jack Clark, 1977. "Stability Tests for Alphas and Betas over Bull and Bear Market Conditions," Journal of Finance, American Finance Association, vol. 32(4), pages 1093-99, September. [Downloadable!] (restricted)
6. Glascock, John L & Lu, Chiuling & So, Raymond W, 2002. "REIT Returns and Inflation: Perverse or Reverse Causality Effects?," The Journal of Real Estate Finance and Economics, Springer, vol. 24(3), pages 301-17, May. [Downloadable!] (restricted)
7. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," Journal of Business, University of Chicago Press, vol. 54(4), pages 513-33, October. [Downloadable!] (restricted)
8. Cumby, Robert E & Glen, Jack D, 1990. " Evaluating the Performance of International Mutual Funds," Journal of Finance, American Finance Association, vol. 45(2), pages 497-521, June. [Downloadable!] (restricted)
9. Timothy C. Johnson, 2002. "Rational Momentum Effects," Journal of Finance, American Finance Association, vol. 57(2), pages 585-608, 04. [Downloadable!] (restricted)
10. 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. [Downloadable!] (restricted)
11. John S. Howe & James D. Shilling, 1990. "REIT Advisor Performance," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(4), pages 479-500. [Downloadable!] (restricted)
12. Narasimhan Jegadeesh, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, 04. [Downloadable!] (restricted)
13. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December. [Downloadable!] (restricted)

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