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The Predictability of REIT Returns and Market Segmentatio

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  1. Camilo Serrano & Martin Hoesli, 2010. "Are Securitized Real Estate Returns more Predictable than Stock Returns?," The Journal of Real Estate Finance and Economics, Springer, vol. 41(2), pages 170-192, August.
  2. James Payne, 2003. "Shocks to macroeconomic state variables and the risk premium of REITs," Applied Economics Letters, Taylor & Francis Journals, vol. 10(11), pages 671-677.
  3. John Cotter & Simon Stevenson, 2006. "Multivariate Modeling of Daily REIT Volatility," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 305-325, May.
  4. Dirk Brounen & Piet Eichholtz & David Ling, 2007. "Trading Intensity and Real Estate Performance," The Journal of Real Estate Finance and Economics, Springer, vol. 35(4), pages 449-474, November.
  5. Zhu Bing, 2018. "The Time-Varying Nature of Reits," Real Estate Management and Valuation, Sciendo, vol. 26(1), pages 26-38, March.
  6. Zaghum Umar & Dennis Olson, 2022. "Strategic asset allocation and the demand for real estate: international evidence," Empirical Economics, Springer, vol. 62(5), pages 2461-2513, May.
  7. Cotter, John & Stevenson, Simon, 2004. "Uncovering Volatility Dynamics in Daily REIT Returns," MPRA Paper 3533, University Library of Munich, Germany, revised 2005.
  8. Thomas C. Chiang & Hooi Hooi Lean & Wing-Keung Wong, 2008. "Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches," JRFM, MDPI, vol. 1(1), pages 1-40, December.
  9. 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.
  10. 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.
  11. Young-Min Kim, 2020. "Do Fund Investors Consider Asset Returns? Substitute Relation Among Investment Funds in Korea," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 521-536, December.
  12. James Payne & George Waters, 2007. "Have Equity REITs Experienced Periodically Collapsing Bubbles?," The Journal of Real Estate Finance and Economics, Springer, vol. 34(2), pages 207-224, February.
  13. Hui-Na Lin & Wo-Chiang Lee, 2015. "Threshold Effects in the Relationships of REITs and Other Financial Securities in Developed Countries," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(3), pages 426-438, March.
  14. Tim A. Kroencke & Felix Schindler & Bertram I. Steininger, 2018. "The Anatomy of Public and Private Real Estate Return Premia," The Journal of Real Estate Finance and Economics, Springer, vol. 56(3), pages 500-523, April.
  15. Hao Fang & Yen-Hsien Lee, 2013. "Are the Global REIT Markets Efficient by a New Approach?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(6), pages 743-757, December.
  16. Su Han Chan & Wai Kin Leung & Ko Wang, 1998. "Institutional Investment in REITs: Evidence and Implications," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 357-374.
  17. 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.
  18. 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).
  19. Omokolade Akinsomi & Goodness C. Aye & Vassilios Babalos & Fotini Economou & Rangan Gupta, 2016. "Real estate returns predictability revisited: novel evidence from the US REITs market," Empirical Economics, Springer, vol. 51(3), pages 1165-1190, November.
  20. Jian Zhou & Zhixin Kang, 2011. "A Comparison of Alternative Forecast Models of REIT Volatility," The Journal of Real Estate Finance and Economics, Springer, vol. 42(3), pages 275-294, April.
  21. Crystal Lin & Hamid Rahman & Kenneth Yung, 2009. "Investor Sentiment and REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 39(4), pages 450-471, November.
  22. Ryu, Inug & Jang, Hanwool & Kim, Dongshin & Ahn, Kwangwon, 2021. "Market Efficiency of US REITs: A Revisit," Chaos, Solitons & Fractals, Elsevier, vol. 150(C).
  23. 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.
  24. Deqing Diane Li & YingChou Lin & John Jin, 2012. "International Volatility Transmission Of Reit Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(3), pages 41-51.
  25. 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.
  26. Abel Olaleye & Benjamin Ekemode, 2014. "Integration between real estate equity and non-real estate equity," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 32(3), pages 244-255, April.
  27. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2007. "Investing for the Long-run in European Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 35-80, January.
  28. Jaroslaw Morawski & Heinz Rehkugler & Roland Füss, 2008. "The nature of listed real estate companies: property or equity market?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 22(2), pages 101-126, June.
  29. John Okunev & Patrick J. Wilson, 2008. "Predictability of Equity REIT Returns: Implications for Property Tactical Asset Allocation," International Real Estate Review, Global Social Science Institute, vol. 11(2), pages 32-46.
  30. Sebastian, Steffen P. & Steininger, Bertram I., 2021. "Real estate ETNs in strategic asset allocation," Working Paper Series 21/8, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
  31. Su Han Chan & Ko Wang & Jing Yang, 2009. "IPO Pricing Strategies with Deadweight and Search Costs," Journal of Real Estate Research, American Real Estate Society, vol. 31(4), pages 481-542.
  32. Pierpaolo Pattitoni & Barbara Petracci & Massimo Spisni, 2012. "REIT modified duration and convexity," Economics and Business Letters, Oviedo University Press, vol. 1(3), pages 1-7.
  33. James Payne & Hassan Mohammadi, 2004. "The transmission of shocks across real estate investment trust (REIT) markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(17), pages 1211-1217.
  34. Michael Cooper & David H. Downs, 1999. "Real Estate Securities and a Filter-based, Short-term Trading Strategy," Journal of Real Estate Research, American Real Estate Society, vol. 18(2), pages 313-334.
  35. Tien Foo Sing & Leiting Deng & Hong Wang, 2007. "Tests of common real estate risk premia in a time‐varying expected return framework," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 25(4), pages 359-369, July.
  36. Simon Stevenson, 2002. "Momentum Effects and Mean Reversion in Real Estate Securities," Journal of Real Estate Research, American Real Estate Society, vol. 23(1/2), pages 47-64.
  37. Hyun Jung Won & Sang Beom Park, 2016. "An Empirical Study on the Characteristics of K-REITs," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(6), pages 231-231, June.
  38. 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.
  39. John L. Glascock & Wikrom Prombutr & Ying Zhang & Tingyu Zhou, 2018. "Can Investors Hold More Real Estate? Evidence from Statistical Properties of Listed REIT versus Non-REIT Property Companies in the U.S," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 274-302, February.
  40. Lee, Chyi Lin & Stevenson, Simon & Cho, Hyunbum, 2022. "Listed real estate futures trading, market efficiency, and direct real estate linkages: International evidence," Journal of International Money and Finance, Elsevier, vol. 127(C).
  41. Chen, Shyh-Wei & Shen, Chung-Hua, 2012. "Examining the stochastic behavior of REIT returns: Evidence from the regime switching approach," Economic Modelling, Elsevier, vol. 29(2), pages 291-298.
  42. Liu Xiaoxin & Wu Di & Li Xiuting & Dong Jichang, 2013. "Financing of Low-Rent Housing REITs in China," Journal of Systems Science and Information, De Gruyter, vol. 1(1), pages 1-21, February.
  43. 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.
  44. Akinsomi, Omokolade & Coskun, Yener & Gil-Alana, Luis A. & Yaya, OlaOluwa S, 2018. "Is there convergence between the BRICS and International REIT Markets?," MPRA Paper 88756, University Library of Munich, Germany.
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