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On the Hybrid Nature of REITs

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Author Info

  • Walter Boudry

    ()

  • N. Coulson

    ()

  • Jarl Kallberg

    ()

  • Crocker Liu

    ()

Abstract

No abstract is available for this item.

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File URL: http://hdl.handle.net/10.1007/s11146-011-9339-7
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Bibliographic Info

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

Volume (Year): 44 (2012)
Issue (Month): 1 (January)
Pages: 230-249

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Handle: RePEc:kap:jrefec:v:44:y:2012:i:1:p:230-249

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

Related research

Keywords: REITs; Cointegration;

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. 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.
  2. Campbell, John & Shiller, Robert, 1988. "Stock Prices, Earnings, and Expected Dividends," Scholarly Articles 3224293, Harvard University Department of Economics.
  3. William Hardin III & Matthew D. Hill, 2008. "REIT Dividend Determinants: Excess Dividends and Capital Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(2), pages 349-369, 06.
  4. 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.
  5. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
  6. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
  7. 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.
  8. David Ling & Andy Naranjo, 2003. "The Dynamics of REIT Capital Flows and Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(3), pages 405-434, 09.
  9. Clayton, Jim & MacKinnon, Greg, 2003. "The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 27(1), pages 39-60, July.
  10. John Y. Campbell, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, 02.
  11. Kevin Chiang, 2009. "Discovering REIT Price Discovery: A New Data Setting," The Journal of Real Estate Finance and Economics, Springer, vol. 39(1), pages 74-91, July.
  12. West, Kenneth D, 1988. "Dividend Innovations and Stock Price Volatility," Econometrica, Econometric Society, vol. 56(1), pages 37-61, January.
  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.
  14. Ackert, Lucy F & Smith, Brian F, 1993. " Stock Price Volatility, Ordinary Dividends, and Other Cash Flows to Shareholders," Journal of Finance, American Finance Association, vol. 48(4), pages 1147-60, September.
  15. Jaroslaw Morawski & Heinz Rehkugler & Roland Füss, 2008. "The nature of listed real estate companies: property or equity market?," Financial Markets and Portfolio Management, Springer, vol. 22(2), pages 101-126, June.
  16. Robert J. Shiller, 1980. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," NBER Working Papers 0456, National Bureau of Economic Research, Inc.
  17. Jarl G. Kallberg & Crocker H. Liu & Anand Srinivasan, 2003. "Dividend Pricing Models and REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(3), pages 435-450, 09.
  18. Joseph Ooi & Jingliang Wang & James Webb, 2009. "Idiosyncratic Risk and REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 38(4), pages 420-442, May.
  19. Glascock, John L & Lu, Chiuling & So, Raymond W, 2000. "Further Evidence on the Integration of REIT, Bond, and Stock Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 20(2), pages 177-94, March.
  20. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
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Citations

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Cited by:
  1. Bruno Milani & Paulo Sergio Ceretta, 2013. "Do Brazilian REITs depend on Real Estate sector companies or Overall Market?," Economics Bulletin, AccessEcon, vol. 33(4), pages 2948-2957.
  2. Walter Boudry & N. Coulson & Jarl Kallberg & Crocker Liu, 2013. "On Indexing Commercial Real Estate Properties and Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 47(4), pages 617-639, November.
  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.
  4. Hoesli, Martin & Oikarinen, Elias, 2012. "Are REITs real estate? Evidence from international sector level data," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1823-1850.
  5. Mohamed Arouri & Duc Khuong Nguyen & Kuntara Pukthuanthong, 2014. "Diversification benefits and strategic portfolio allocation across asset classes: The case of the US markets," Working Papers 2014-294, Department of Research, Ipag Business School.

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