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Discovering REIT Price Discovery: A New Data Setting

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Author Info
Kevin Chiang ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s11146-007-9098-7
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Publisher Info
Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 39 (2009)
Issue (Month): 1 (July)
Pages: 74-91
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:39:y:2009:i:1:p:74-91

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

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords: REITs; Price discovery; Factor exposures; NAVs; Discounts/premiums;

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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. Kevin C.H. Chiang & Ming-Long Lee & Craig H. Wisen, 2005. "On the Time-Series Properties of Real Estate Investment Trust Betas," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 33(2), pages 381-396, 06. [Downloadable!] (restricted)
  2. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February. [Downloadable!] (restricted)
  3. Ming-Long Lee & Ming-Te Lee & Kevin Chiang, 2008. "Real Estate Risk Exposure of Equity Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 36(2), pages 165-181, February. [Downloadable!] (restricted)
  4. 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. [Downloadable!]
  5. Jim Clayton & David Geltner & Stanley W. Hamilton, 2001. "Smoothing in Commercial Property Valuations: Evidence from Individual Appraisals," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 29(3), pages 337-360. [Downloadable!] (restricted)
  6. Richard Barkham & David Geltner, 1995. "Price Discovery in American and British Property Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 23(1), pages 21-44. [Downloadable!] (restricted)
  7. Joseph Gyourko & Donald B. Keim, . "What Does the Stock Market Tell Us About Real Estate Returns? (Revision of 18-91) (Reprint 030)," Rodney L. White Center for Financial Research Working Papers 11-92, Wharton School Rodney L. White Center for Financial Research.
  8. Mei, Jianping & Lee, Ahyee, 1994. "Is There a Real Estate Factor Premium?," The Journal of Real Estate Finance and Economics, Springer, vol. 9(2), pages 113-26, September.
  9. Damodaran, Aswath & Liu, Crocker H, 1993. "Insider Trading as a Signal of Private Information," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 6(1), pages 79-119. [Downloadable!] (restricted)
  10. Tuluca, Sorin A & Myer, F C Neil & Webb, James R, 2000. "Dynamics of Private and Public Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 21(3), pages 279-96, November. [Downloadable!] (restricted)
  11. James D. Peterson & Cheng-Ho Hsieh, 1997. "Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(2), pages 321-345. [Downloadable!] (restricted)
  12. Joseph Gyourko & Donald B. Keim, 1992. "What Does the Stock Market Tell Us About Real Estate Returns?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 20(3), pages 457-485. [Downloadable!] (restricted)
  13. 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. [Downloadable!]
  14. 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.
  15. Yuming Fu & Lilian K. Ng, 2001. "Market Efficiency and Return Statistics: Evidence from Real Estate and Stock Markets Using a Present-Value Approach," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 29(2), pages 227-250. [Downloadable!] (restricted)
  16. Mike Miles & Rebel Cole & David Guilkey, 1990. "A Different Look at Commercial Real Estate Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(4), pages 403-430. [Downloadable!] (restricted)
  17. Ling T. He, 2002. "Excess Returns of Industrial Stocks and the Real Estate Factor," Southern Economic Journal, Southern Economic Association, vol. 68(3), pages 632-645, January.
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