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What Does the Stock Market Tell Us About Real Estate Returns?

Citations

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Cited by:

  1. Maier, Gunther & Herath, Shanaka, 2009. "Real Estate Market Efficiency. A Survey of Literature," SRE-Discussion Papers 2009/07, WU Vienna University of Economics and Business.
  2. Les Ruddock, 2001. "The Portfolio strategy of UK Property Companies. "Style" Analysis and Portfolio Performance," ERES eres2001_211, European Real Estate Society (ERES).
  3. Ying Zhang & J. Andrew Hansz, 2022. "Industry Concentration and U.S. REIT Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(1), pages 247-267, March.
  4. Martin Hoesli & Jon Lekander, 2008. "Real estate portfolio strategy and product innovation in Europe," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 26(2), pages 162-176, March.
  5. Liow, Kim Hiang & Schindler, Felix, 2011. "An assessment of the relationship between public real estate markets and stock markets at the local, regional, and global levels," ZEW Discussion Papers 11-056, ZEW - Leibniz Centre for European Economic Research.
  6. Jose Lopez, 2009. "Empirical analysis of the average asset correlation for real estate investment trusts," Quantitative Finance, Taylor & Francis Journals, vol. 9(2), pages 217-229.
  7. Tsangyao Chang & Xiao-lin Li & Stephen M. Miller & Mehmet Balcilar & Rangan Gupta, 2013. "The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains," Working papers 2013-34, University of Connecticut, Department of Economics.
  8. Nafeesa Yunus & J. Hansz & Paul Kennedy, 2012. "Dynamic Interactions Between Private and Public Real Estate Markets: Some International Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 1021-1040, November.
  9. Changha Jin & Kwanyoung Kim, 2017. "Do Economies of Scale Exist? : Evidence from Korean REITs," International Real Estate Review, Global Social Science Institute, vol. 20(3), pages 349-374.
  10. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2018. "Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 34-62.
  11. Dimitrios Gounopoulos & Kyriaki Kosmidou & Dimitrios Kousenidis & Victoria Patsika, 2019. "The investigation of the dynamic linkages between real estate market and stock market in Greece," The European Journal of Finance, Taylor & Francis Journals, vol. 25(7), pages 647-669, May.
  12. Wilson, Patrick James & Okunev, John & Webb, James J, 1998. "Step Interventions and Market Integration: Tests in the U.S., U.K., and Australian Property Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 16(1), pages 91-123, January.
  13. Berg, Nathan & Gu, Anthony Y. & Lien, Donald, 2007. "Dynamic correlation: A tool hedging house-price risk?," MPRA Paper 26368, University Library of Munich, Germany.
  14. Nai Jia Lee & Tien Foo Sing & Dinh Hoang Tran, 2013. "REIT Share Price and NAV Deviations: Noise or Sentiment?," International Real Estate Review, Global Social Science Institute, vol. 16(1), pages 28-47.
  15. Gil-Alana, Luis A. & Yaya, OlaOluwa S, 2018. "How do Stocks in BRICS co-move with REITs?," MPRA Paper 88753, University Library of Munich, Germany.
  16. Chien‐Yun Chang & Jian‐Hsin Chou & Hung‐Gay Fung, 2012. "Time dependent behavior of the Asian and the US REITs around the subprime crisis," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 30(3), pages 282-303, April.
  17. repec:ebl:ecbull:v:3:y:2007:i:45:p:1-11 is not listed on IDEAS
  18. repec:prg:jnlpep:v:preprint:id:560:p:1-15 is not listed on IDEAS
  19. Martin Hoesli & Elias Oikarinen, 2011. "Are Reits Real Estate? Evidence from Sector Level Data," ERES eres2011_221, European Real Estate Society (ERES).
  20. Ogonna Nneji & Chris Brooks & Charles Ward, 2013. "Commercial Real Estate and Equity Market Bubbles: Are They Contagious to REITs?," Urban Studies, Urban Studies Journal Limited, vol. 50(12), pages 2496-2516, September.
  21. Ming-Chu Chiang & Tien Foo Sing & I-Chun Tsai, 2017. "Spillover Risks in REITs and other Asset Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 54(4), pages 579-604, May.
  22. Maria I. Kyriakou & Athanasios Koulakiotis & Apostolos Kiohos & Vassilios Babalos, 2023. "Fractional Integration and Volatility Transmission Between Real Estate and Stock Markets: Novel Evidence from a FIGARCH-BEKK Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 66(4), pages 939-962, May.
  23. Alexey Akimov & Simon Stevenson, 2013. "Securitised Real Estate Regime-Switching Behaviour and the Relationship with Market Interest Rates," ERES eres2013_346, European Real Estate Society (ERES).
  24. Randy Anderson & Jim Clayton & Greg Mackinnon & Rajneesh Sharma, 2006. "REIT Returns and Pricing: The Small Cap Value Stock Factor," Journal of Property Research, Taylor & Francis Journals, vol. 22(4), pages 267-286, January.
  25. William G. Hardin, III & Marvin L. Wolverton, 1999. "Equity REIT Property Acquisitions: Do Apartment REITs Pay a Premium?," Journal of Real Estate Research, American Real Estate Society, vol. 17(1), pages 113-126.
  26. Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2016. "No‐Bubble Condition: Model‐Free Tests in Housing Markets," Econometrica, Econometric Society, vol. 84, pages 1047-1091, May.
  27. Michael J. Seiler & Arjun Chatrath & James R. Webb, 2001. "Real Asset Ownership and the Risk and Return to Stockholders," Journal of Real Estate Research, American Real Estate Society, vol. 22(1/2), pages 199-212.
  28. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2018. "Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 16(1), pages 34-62.
  29. Rainer Masera, 2011. "Taking the moral hazard out of banking: the next fundamental step in financial reform," PSL Quarterly Review, Economia civile, vol. 64(257), pages 105-142.
  30. Oikarinen, Elias, 2006. "Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data," Discussion Papers 1004, The Research Institute of the Finnish Economy.
  31. Baroni, Michel & Barthelemy, Fabrice & Mokrane, Madhi, 2003. "Which Capital Growth Index for the Paris Residential Market?," ESSEC Working Papers DR 03002, ESSEC Research Center, ESSEC Business School.
  32. John Knight & Colin Lizieri & Stephen Satchell, 2005. "Diversification When It Hurts? The Joint Distributions of Real Estate and Equity Markets," Real Estate & Planning Working Papers rep-wp2005-16, Henley Business School, University of Reading.
  33. Pedro A.C. Saffi & Carles Vergara‐Alert, 2020. "The Big Short: Short Selling Activity and Predictability in House Prices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 48(4), pages 1030-1073, December.
  34. Tom Emmerling & Crocker Liu & Yildiray Yildirim, 2017. "The Hybrid Nature of Real Estate Trusts," ERES eres2017_370, European Real Estate Society (ERES).
  35. Ling T. He, & James. R. Webb & Neil Myer, 2003. "Interest Rate Sensitivities of REIT Returns," International Real Estate Review, Global Social Science Institute, vol. 6(1), pages 1-21.
  36. Gil-Alana, Luis A. & Yaya, OlaOluwa S. & Akinsomi, Omokolade & Coskun, Yener, 2020. "How do stocks in BRICS co-move with real estate stocks?," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 93-101.
  37. Ling T. He, 2002. "Excess Returns of Industrial Stocks and the Real Estate Factor," Southern Economic Journal, John Wiley & Sons, vol. 68(3), pages 632-645, January.
  38. David Geltner & Bryan D. MacGregor & Gregory M. Schwann, 2003. "Appraisal Smoothing and Price Discovery in Real Estate Markets," Urban Studies, Urban Studies Journal Limited, vol. 40(5-6), pages 1047-1064, May.
  39. 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.
  40. Janet K. Tandy & Leon Shilton, 1999. "Risk Assessment Steeplechase: Hurdles to Becoming a Target Market," Journal of Real Estate Research, American Real Estate Society, vol. 17(2), pages 127-150.
  41. Jim Clayton, 1996. "Market Fundamentals, Risk and the Canadian Property Cycle: Implications for Property Valuation and Investment Decisions," Journal of Real Estate Research, American Real Estate Society, vol. 12(3), pages 347-368.
  42. Patrick J. Wilson & John Okunev, 1999. "Long-Term Dependencies and Long Run non-Periodic Co-Cycles: Real Estate and Stock Markets," Journal of Real Estate Research, American Real Estate Society, vol. 18(2), pages 257-278.
  43. Yongheng Deng & Eric Girardin & Roselyne Joyeux & Shuping Shi, 2017. "Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?," Pacific Economic Review, Wiley Blackwell, vol. 22(3), pages 276-292, August.
  44. Gary A. Patterson, 2008. "International Real Estate," World Scientific Book Chapters, in: Hung-Gay Fung & Xiaoqing Eleanor Xu & Jot Yau (ed.), Advances In International Investments Traditional and Alternative Approaches, chapter 7, pages 161-182, World Scientific Publishing Co. Pte. Ltd..
  45. Camilo Serrano & Martin Hoesli, 2012. "Fractional Cointegration Analysis of Securitized Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 319-338, April.
  46. Ata Assaf, 2006. "Canadian REITs and Stock Prices: Fractional Cointegration and Long Memory," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 441-462.
  47. Peter Oppenheimer & Terry V. Grissom, 1998. "Frequency Space Correlation Between REITs and Capital Market Indices," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 291-310.
  48. Elias OIKARINEN & Martin HOESLI & Camilo SERRANO, 2009. "Linkages Between Direct and Securitized Real Estate," Swiss Finance Institute Research Paper Series 09-26, Swiss Finance Institute.
  49. Giacomo Morri & Charles Ward, 2005. "Explaining Deviations from NAV in UK Property Companies: Rationality and Sentimentality," ERES eres2005_259, European Real Estate Society (ERES).
  50. Tsangyao Chang & Yu-Chen Wei & Yang-Cheng Lu, 2007. "An Empirical Note on Testing the Cointegration Relationship Between the Real Estate and Stock Markets in Taiwan," Economics Bulletin, AccessEcon, vol. 3(45), pages 1-11.
  51. Liow, Kim Hiang & Huang, Yuting & Song, Jeonseop, 2019. "Relationship between the United States housing and stock markets: Some evidence from wavelet analysis," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  52. Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014. "Very long-run discount rates," Globalization Institute Working Papers 182, Federal Reserve Bank of Dallas.
  53. Nannan Yuan & Shigeyuki Hamori & Wang Chen, 2014. "House Prices and Stock Prices: Evidence from a Dynamic Heterogeneous Panel in China," Discussion Papers 1428, Graduate School of Economics, Kobe University.
  54. Khalid Sekkat & Ariane Szafarz, 2011. "Valuing Homeownership," The Journal of Real Estate Finance and Economics, Springer, vol. 43(4), pages 491-504, November.
  55. Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Interactions between stock, bond and housing markets," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 43-70.
  56. Deng, Yongheng & Girardin, Eric & Joyeux, Roselyne, 2018. "Fundamentals and the volatility of real estate prices in China: A sequential modelling strategy," China Economic Review, Elsevier, vol. 48(C), pages 205-222.
  57. Piet M.A. Eichholtz, 1996. "The Stability of the Covariances of International Property Share Returns," Journal of Real Estate Research, American Real Estate Society, vol. 11(2), pages 149-158.
  58. Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December.
  59. Lee, Chien-Chiang & Chien, Mei-Se & Lin, Tsoyu Calvin, 2012. "Dynamic modelling of real estate investment trusts and stock markets," Economic Modelling, Elsevier, vol. 29(2), pages 395-407.
  60. Nikiforos Laopodis, 2009. "REITs, the stock market and economic activity," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 27(6), pages 563-578, September.
  61. Mato Njavro & Petra Posedel & Maruška Vizek, 2016. "Regime Switching Behaviour of Real Estate and Equity Prices in Emerging Countries," Prague Economic Papers, Prague University of Economics and Business, vol. 2016(4), pages 396-410.
  62. Anita CEH CASNI & Maruska VIZEK, 2014. "Interactions between Real Estate and Equity Markets: an Investigation of Linkages in Developed and Emerging Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(2), pages 100-119, March.
  63. Masaki Mori, 2015. "Information Diffusion in the U.S. Real Estate Investment Trust Market," The Journal of Real Estate Finance and Economics, Springer, vol. 51(2), pages 190-214, August.
  64. John Knight & Colin Lizieri & Stephen Satchell, 2005. "Diversification when It Hurts? The Joint Distributions of Real Estate and Equity Markets1," Journal of Property Research, Taylor & Francis Journals, vol. 22(4), pages 309-323, December.
  65. Patric H. Hendershott & Thomas G. Thibodeau & Halbert C. Smith, 2009. "Evolution of the American Real Estate and Urban Economics Association1," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(4), pages 559-598, December.
  66. Okunev, John & Wilson, Patrick & Zurbruegg, Ralf, 2000. "The Causal Relationship between Real Estate and Stock Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 21(3), pages 251-261, November.
  67. John Okunev & Pat Wilson, 1996. "Fractional Co-Integration in Domestic and International Real Estate and Stock Markets," Working Paper Series 65, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  68. Stefano Fenoaltea, 2010. "The reconstruction of historical national accounts: the case of Italy," PSL Quarterly Review, Economia civile, vol. 63(252), pages 77-96.
  69. Yongheng Deng & Eric Girardin & Roselyne Joyeux, 2015. "Fundamentals and the Volatility of Real Estate Prices in China: A Sequential Modelling Strategy," Working Papers 222015, Hong Kong Institute for Monetary Research.
  70. David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
  71. David C. Ling & Andy Naranjo, 1999. "The Integration of Commercial Real Estate Markets and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(3), pages 483-515, September.
  72. Yuki Toyoshima, 2018. "Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets," JRFM, MDPI, vol. 11(2), pages 1-10, April.
  73. Edward Nelling & Joseph Gyourko, 1998. "The Predictability of Equity REIT Returns," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 251-268.
  74. Okunev, John & Wilson, Patrick & Zurbruegg, Ralf, 2002. "Relationships between Australian Real Estate and Stock Market Prices--A Case of Market Inefficiency," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(3), pages 181-192, April.
  75. 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.
  76. Leon Shilton, 2000. "Random Walks and the Cointegration of the ACLI and NCREIF," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 28(3), pages 435-465.
  77. Kim Hiang Liow, 2006. "Dynamic relationship between stock and property markets," Applied Financial Economics, Taylor & Francis Journals, vol. 16(5), pages 371-376.
  78. William Mingyan Cheung & James Chicheong Lei & Desmond Tsang, 2016. "Does Property Transaction Matter in the Price Discovery of Real Estate Markets?," International Real Estate Review, Global Social Science Institute, vol. 19(1), pages 27-49.
  79. Elias Oikarinen & Martin Hoesli & Camilo Serrano, 2013. "Do Public Real Estate Returns Really Lead Private Returns?," ERES eres2013_145, European Real Estate Society (ERES).
  80. Andrey Pavlov & Eva Steiner & Susan Wachter, 2015. "Macroeconomic Risk Factors and the Role of Mispriced Credit in the Returns from International Real Estate Securities," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 241-270, March.
  81. John Cotter & Richard Roll, 2010. "A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics," Working Papers 201008, Geary Institute, University College Dublin.
  82. Armonat, Stefan & Pfnür, Andreas, 2002. "Basel II and the German credit crunch?," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35585, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  83. Hui, Eddie Chi-man & Chan, Ka Kwan Kevin, 2014. "The global financial crisis: Is there any contagion between real estate and equity markets?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 216-225.
  84. Christian Rehring, 2012. "Real Estate in a Mixed‐Asset Portfolio: The Role of the Investment Horizon," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(1), pages 65-95, March.
  85. Jing Liu & Geoffrey Loudon & George Milunovich, 2012. "Linkages between international REITs: the role of economic factors," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 30(5), pages 473-492, August.
  86. Liow Kim Hiang, 2001. "Real estate and corporate valuation: an asset pricing perspective," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 22(7), pages 355-368.
  87. Conlin Lizieri & Steven Satchell & Elaine Worzala & Roberto Dacco', 1998. "Real Interest Regimes and Real Estate Performance: A Comparison of UK and US Markets," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 339-356.
  88. Imran Yousaf & Shoaib Ali, 2020. "Integration between real estate and stock markets: new evidence from Pakistan," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 13(5), pages 887-900, April.
  89. Coletta Cuono Massimo & Busato Francesco, 2019. "U.S. REITs: A Financial Economics Review as of 2018," Real Estate Management and Valuation, Sciendo, vol. 27(2), pages 20-32, June.
  90. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
  91. 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.
  92. Rainer Masera, 2010. "Reforming financial systems after the crisis: a comparison of EU and USA," PSL Quarterly Review, Economia civile, vol. 63(255), pages 299-362.
  93. Tse, Yiuman, 2015. "Do industries lead stock markets? A reexamination," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 195-203.
  94. Emmanuel Anoruo & Habtu Braha, 2008. "Housing and Stock Market Returns: An Application of GARCH Enhanced VECM," The IUP Journal of Financial Economics, IUP Publications, vol. 0(2), pages 30-40, June.
  95. Devaney, Steven & Xiao, Qin, 2017. "Cyclical co-movements of private real estate, public real estate and equity markets: A cross-continental spectrum," Journal of Multinational Financial Management, Elsevier, vol. 42, pages 132-151.
  96. Chih-Wei SU & Hsu-Ling CHANG & Chun JIANG, 2013. "Does Wealth or Credit Effect Exist in China?," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 104-114, October.
  97. Zulfiqar Ali Imran & Muhammad Ahad, 2022. "Safe-haven investments against stock returns in Pakistan: a role of real estate, gold, oil and US dollar," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 16(1), pages 167-189, February.
  98. Yun Luo & Kwong Wing Chau, 2013. "The Impact of Real Estate Market Transparency on Dynamics between Direct and Indirect Real Estate," ERES eres2013_35, European Real Estate Society (ERES).
  99. Imran, Zulfiqar Ali & Ahad, Muhammad, 2021. "Safe Haven or Hedge: Diversification Abilities of Asset Classes in Pakistan," MPRA Paper 107613, University Library of Munich, Germany, revised 02 May 2021.
  100. Wang, Yu-Min & Lin, Che-Chun & Tsai, I-Chun, 2023. "State transformation of information spillover in asset markets and effective dynamic hedging strategies," International Review of Financial Analysis, Elsevier, vol. 89(C).
  101. Seow-Eng Ong & Tien-Foo Sing, 2002. "Price Discovery between Private and Public Housing Markets," Urban Studies, Urban Studies Journal Limited, vol. 39(1), pages 57-67, January.
  102. Colin Lizieri & Charles Ward, 2000. "Commercial Real Estate Return Distributions: A Review Of Literature And Empirical Evidence," Real Estate & Planning Working Papers rep-wp2000-01, Henley Business School, University of Reading.
  103. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
  104. Elyas Elyasiani & Iqbal Mansur & Jill Wetmore, 2010. "Real-Estate Risk Effects on Financial Institutions’ Stock Return Distribution: a Bivariate GARCH Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 40(1), pages 89-107, January.
  105. Ramzi Tarazi & Mohammad Zahid Hasan, 2019. "The Effect of Economic and Fundamental Factors on the Australian Property Performance," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 15(2), pages 155-184.
  106. Li, Xiao-Lin & Chang, Tsangyao & Miller, Stephen M. & Balcilar, Mehmet & Gupta, Rangan, 2015. "The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 220-233.
  107. Elias Oikarinen, 2010. "Foreign Ownership of Stocks and Long-run Interdependence Between National Housing and Stock Markets—Evidence from Finnish Data," The Journal of Real Estate Finance and Economics, Springer, vol. 41(4), pages 486-509, November.
  108. 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.
  109. Koon Nam Henry Lee, 2017. "Residential property price-stock price nexus in Hong Kong: new evidence from ARDL bounds test," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 10(2), pages 204-220, April.
  110. Pin-te Lin & Franz Fuerst, 2014. "The integration of direct real estate and stock markets in Asia," Applied Economics, Taylor & Francis Journals, vol. 46(12), pages 1323-1334, April.
  111. Andrew Ang & Neil Nabar & Sam Wald, 2013. "Search for a Common Factor in Public and Private Real Estate Returns," NBER Working Papers 19194, National Bureau of Economic Research, Inc.
  112. Catherine Jackson, 2001. "A Model of Spatial Patterns across Local Retail Property Markets in Great Britain," Urban Studies, Urban Studies Journal Limited, vol. 38(9), pages 1445-1471, August.
  113. Jing Wu & Yongheng Deng, 2015. "Intercity Information Diffusion and Price Discovery in Housing Markets: Evidence from Google Searches," The Journal of Real Estate Finance and Economics, Springer, vol. 50(3), pages 289-306, April.
  114. Miao Jia, 2016. "The Long-Run Effects of the Fed’s Monetary Policy on the Dynamics among Major Asset Classes," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 51(1), pages 9-19, September.
  115. Douglas Stone & William T. Ziemba, 1993. "Land and Stock Prices in Japan," Journal of Economic Perspectives, American Economic Association, vol. 7(3), pages 149-165, Summer.
  116. Korhan Gokmenoglu & Siamand Hesami, 2019. "Real estate prices and stock market in Germany: analysis based on hedonic price index," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 12(4), pages 687-707, April.
  117. Qiulin Ke & Karen Sieracki, 2018. "Exploring sentiment-driven trading behavior of different types of investors in London office market," ERES eres2018_112, European Real Estate Society (ERES).
  118. Luca Agnello & Vitor Castro & Ricardo M. Sousa, 2015. "Booms, Busts, and Normal Times in the Housing Market," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 25-45, January.
  119. Mingyan Cheung & Chicheong Lei, 2014. "Does Property Transaction Matter in Price Discovery in Real Estate Markets? Evidence from International Firm Level Data," ERES eres2014_195, European Real Estate Society (ERES).
  120. Richard J. Barkham & Charles W. R. Ward, 1999. "Investor Sentiment and Noise Traders: Discount to Net Asset Value in Listed Property Companies in the U.K," Journal of Real Estate Research, American Real Estate Society, vol. 18(2), pages 291-312.
  121. K.W. Chau & Bryan D. MacGregor & Gregory M. Schwann, 2001. "Price discovery in the Hong Kong real estate market," Journal of Property Research, Taylor & Francis Journals, vol. 18(3), pages 187-216.
  122. Yu-Shao Liu & Chi-Wei Su, 2010. "The relationship between the real estate and stock markets of China: evidence from a nonlinear model," Applied Financial Economics, Taylor & Francis Journals, vol. 20(22), pages 1741-1749.
  123. Ogonna Nneji & Chris Brooks & Charles Ward, 2011. "Housing and equity bubbles: Are they contagious to REITs?," ICMA Centre Discussion Papers in Finance icma-dp2011-11, Henley Business School, University of Reading.
  124. Kim, J.W. & Leatham, D.J. & Bessler, D.A., 2007. "REITs' dynamics under structural change with unknown break points," Journal of Housing Economics, Elsevier, vol. 16(1), pages 37-58, March.
  125. Ying Fan & Abdullah Yavas, 2023. "Price Dynamics in Public and Private Commercial Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 67(1), pages 150-190, July.
  126. Honghui Chen & David M. Harrison & Mahsa Khoshnoud, 2020. "Investors’ Limited Attention: Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 61(3), pages 408-442, October.
  127. Minye Zhang & Yongheng Deng, 2008. "REITs Return Behavior and Legal Infrastructure: The 1993 Revenue Reconciliation Act & Inspirations for China's Emerging REITS Market," Working Paper 8532, USC Lusk Center for Real Estate.
  128. Kim Hiang Liow, 2000. "The dynamics of the Singapore commercial property market," Journal of Property Research, Taylor & Francis Journals, vol. 17(4), pages 279-291.
  129. George D. Cashman & David M. Harrison & Hainan Sheng, 2015. "Political Risk and the Cost of Capital in Asia-Pacific Property Markets," International Real Estate Review, Global Social Science Institute, vol. 18(3), pages 331-364.
  130. Tien Foo Sing, 2004. "Common risk factors and risk premia in direct and securitized real estate markets," Journal of Property Research, Taylor & Francis Journals, vol. 21(3), pages 189-207, December.
  131. Joseph Gyourko, 2009. "Understanding Commercial Real Estate: Just How Different from Housing Is It?," NBER Working Papers 14708, National Bureau of Economic Research, Inc.
  132. Glenn R. Mueller & Keith R. Pauley, 1995. "The Effect of Interest-Rate Movements on Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 10(3), pages 319-326.
  133. Su, Chi-Wei, 2011. "Non-linear causality between the stock and real estate markets of Western European countries: Evidence from rank tests," Economic Modelling, Elsevier, vol. 28(3), pages 845-851, May.
  134. Mohammad Sharik Essa & Evangelos Giouvris, 2023. "Fama–French–Carhart Factor-Based Premiums in the US REIT Market: A Risk Based Explanation, and the Impact of Financial Distress and Liquidity Crisis from 2001 to 2020," IJFS, MDPI, vol. 11(1), pages 1-39, January.
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