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Risk and return characteristics of property indices in emerging markets

  • Barry, Christopher B.
  • Rodriguez, Mauricio

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File URL: http://www.sciencedirect.com/science/article/B6W69-4CTS9JB-2/2/fb333d31e3057366a015d56a40844d4f
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Article provided by Elsevier in its journal Emerging Markets Review.

Volume (Year): 5 (2004)
Issue (Month): 2 (June)
Pages: 131-159

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Handle: RePEc:eee:ememar:v:5:y:2004:i:2:p:131-159
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620356

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  1. Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
  2. Jarl G. Kallberg & Crocker H. Liu & Paolo Pasquariello, 2002. "Regime Shifts in Asian Equity and Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(2), pages 263-291.
  3. Hoesli, Martin, 1993. "International evidence on real estate securities as an inflation hedge," ERES eres1993_108, European Real Estate Society (ERES).
  4. Fran├žois Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, 04.
  5. Bekaert, Geert & Urias, Michael S, 1996. " Diversification, Integration and Emerging Market Closed-End Funds," Journal of Finance, American Finance Association, vol. 51(3), pages 835-69, July.
  6. Geert Bekaert & Campbell R. Harvey, 1995. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc.
  7. Shaun A. Bond & G. Andrew Karolyi & Anthony B. Sanders, 2003. "International Real Estate Returns: A Multifactor, Multicountry Approach," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(3), pages 481-500, 09.
  8. Maureen O'Hara, 2003. "Presidential Address: Liquidity and Price Discovery," Journal of Finance, American Finance Association, vol. 58(4), pages 1335-1354, 08.
  9. Daniel C. Quan & Sheridan Titman, 1999. "Do Real Estate Prices and Stock Prices Move Together? An International Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(2), pages 183-207.
  10. Crocker Liu & Jianping Mei, 1996. "The Predictability of International Real Estate Markets, Exchange Rate Risks and Diversification Consequences," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-33, New York University, Leonard N. Stern School of Business-.
  11. Piet Eichholtz & Ronald Huisman & Kees Koedijk & Lisa Schuin, 1998. "Continental Factors in International Real Estate Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(3), pages 493-509.
  12. Simon Stevenson, 2000. "International Real Estate Diversification: Empirical Tests using Hedged Indices," Journal of Real Estate Research, American Real Estate Society, vol. 19(1), pages 105-131.
  13. Ling, David C & Naranjo, Andy, 2002. "Commercial Real Estate Return Performance: A Cross-Country Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 24(1-2), pages 119-42, Jan.-Marc.
  14. Sanders, Anthony & Shaun, Bond & Andrew, Karolyi, 2003. "International Real Estate Returns: A Multifactor, Multicountry Approach," ERES eres2003_255, European Real Estate Society (ERES).
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