Spillovers of Non-Fundamental Risks: The Tale of Two Securitized Real Estate Markets
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- 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.
- Martin Hoesli & Elias Oikarinen, 2012. "Are REITs Real Estate? Evidence from International Sector Level Data," Swiss Finance Institute Research Paper Series 12-15, Swiss Finance Institute.
- Martin Hoesli & Elias Oikarinen, 2012. "Are REITs real estate? Evidence from international sector level data," ERES eres2012_232, European Real Estate Society (ERES).
- Jian Zhou, 2013. "Extreme risk spillover among international REIT markets," Applied Financial Economics, Taylor & Francis Journals, vol. 23(2), pages 91-103, January.
- repec:ire:issued:v:22:n:01:2019:p:85-110 is not listed on IDEAS
- Benoît Carmichael & Alain Coën, 2018. "Real Estate and Consumption Growth as Common Risk Factors in Asset Pricing Models," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 46(4), pages 936-970, December.
- Julia Freybote & Lihong Qian, 2017. "Corporate real estate, stock market valuation and the reputational effects of eco-certification," Journal of Property Research, Taylor & Francis Journals, vol. 34(3), pages 163-180, July.
- 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.
- Walter Boudry & N. Coulson & Jarl Kallberg & Crocker Liu, 2012. "On the Hybrid Nature of REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 44(1), pages 230-249, January.
- Roland Füss Zeno Adams & Felix Schindler, 2012. "The sources of risk spillovers among US REITs: Asset similarities and regional proximity," ERES eres2012_140, European Real Estate Society (ERES).
- Brent W. Ambrose & Moussa Diop & Jiro Yoshida, 2017. "Product Market Competition and Corporate Real Estate Investment under Demand Uncertainty," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 45(3), pages 521-590, July.
- repec:arz:wpaper:eres2012-232 is not listed on IDEAS
- Nathan Mauck & McKay Price, 2016. "Governance and international investment: Evidence from real estate holdings," ERES eres2016_12, European Real Estate Society (ERES).
- Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
- Sulaiman T. Al-Abduljader, 2019. "Interdependence of Securitized Real Estate in Frontier Markets," International Real Estate Review, Global Social Science Institute, vol. 22(1), pages 83-108.
- Zeno Adams & Roland Füss & Felix Schindler, 2015. "The Sources of Risk Spillovers among U.S. REITs: Financial Characteristics and Regional Proximity," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 67-100, March.
- David C. Ling & Andy Naranjo, 2015. "Returns and Information Transmission Dynamics in Public and Private Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 163-208, March.
- Brent W. Ambrose & Dong Wook Lee & Joe Peek, 2007. "Comovement After Joining an Index: Spillovers of Nonfundamental Effects," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 35(1), pages 57-90, March.
- Vijh, Anand M, 1994. "S&P 500 Trading Strategies and Stock Betas," The Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 215-251.
- John Cotter & Richard Roll, 2015. "A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns, Risks and Distributional Characteristics," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 209-240, March.
- Carmichael, Benoît & Coën, Alain, 2018. "Real estate as a common risk factor in bank stock returns," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 118-130.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Brent W. Ambrose & Brad Case & Seow Eng Ong, 2015.
"Introduction to the Special Issue,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 1-7, March.
- Piet Eichholtz & David Geltner & Seow-Eng Ong, 2013. "Introduction to the Special Issue," The Journal of Real Estate Finance and Economics, Springer, vol. 46(2), pages 203-206, February.
- Andrey Pavlov & Eva Steiner & Susan Wachter, 2018. "The Consequences of REIT Index Membership for Return Patterns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 46(1), pages 210-250, March.
- Geoffrey M. Ngene & Jinghua Wang, 2024. "Transitory and permanent shock transmissions between real estate investment trusts and other assets: Evidence from time‐frequency decomposition and machine learning," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(1), pages 539-573, March.
- Coën, Alain & Desfleurs, Aurélie, 2024. "Geopolitical risk and the dynamics of REITs returns," Finance Research Letters, Elsevier, vol. 64(C).
- Massimo Guidolin & Manuela Pedio & Milena T. Petrova, 2023.
"The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis,"
The Journal of Real Estate Finance and Economics, Springer, vol. 67(1), pages 108-149, July.
- Massimo Guidolin & Manuela Pedio & Milena Petrova, 2019. "The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis," BAFFI CAREFIN Working Papers 19122, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Lian, Ziying & Cai, Jun & Webb, Robert I., 2020. "Oil stocks, risk factors, and tail behavior," Energy Economics, Elsevier, vol. 91(C).
- N. Kundan Kishor, 2020.
"Understanding the relationship between public and private commercial real estate markets,"
Journal of Property Research, Taylor & Francis Journals, vol. 37(4), pages 289-307, October.
- Kishor, N. Kundan, 2017. "Understanding the Relationship between Public and Private Commercial Real Estate Markets," MPRA Paper 83475, University Library of Munich, Germany.
- Keagile Lesame & Elie Bouri & David Gabauer & Rangan Gupta, 2021. "On the Dynamics of International Real Estate Investment Trust Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures," Working Papers 202152, University of Pretoria, Department of Economics.
- 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.
- Chyi Lin Lee & Simon Stevenson & Ming‐Long Lee, 2018. "Low‐frequency volatility of real estate securities and macroeconomic risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 311-342, November.
- Yang, Huan & Cai, Jun & Huang, Lin & Marcus, Alan J., 2021. "Bank stocks, risk factors, and tail behavior," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 203-229.
- Liu, Jian & Chen, Yan & Liao, Shufei & Cheng, Cheng & Fu, Yongge, 2023. "Information spillovers in Hong Kong REITs and related asset markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 215-229.
- Christian Eckert, 2020. "Risk and risk management of spillover effects: Evidence from the literature," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 23(1), pages 75-104, March.
- Zhu Bing, 2018. "The Time-Varying Nature of Reits," Real Estate Management and Valuation, Sciendo, vol. 26(1), pages 26-38, March.
- Barberis, Nicholas & Shleifer, Andrei & Wurgler, Jeffrey, 2005.
"Comovement,"
Journal of Financial Economics, Elsevier, vol. 75(2), pages 283-317, February.
- Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002. "Comovement," NBER Working Papers 8895, National Bureau of Economic Research, Inc.
- Barberis, Nicholas & Shleifer, Andrei & Wurgler, Jeffrey, 2005. "Comovement," Scholarly Articles 27867240, Harvard University Department of Economics.
- Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002. "Comovement," Harvard Institute of Economic Research Working Papers 1953, Harvard - Institute of Economic Research.
- Carmichael, Benoît & Coën, Alain, 2020. "Real estate as a common risk factor in the financial sector: International evidence," Finance Research Letters, Elsevier, vol. 32(C).
- Walter D’Lima & Paul Schultz, 2022. "Buy-to-Rent Investors and the Market for Single Family Homes," The Journal of Real Estate Finance and Economics, Springer, vol. 64(1), pages 116-152, January.
- Michela Verardo & Andrew Patton, 2009.
"Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows,"
FMG Discussion Papers
dp630, Financial Markets Group.
- Patton, Andrew J. & Verardo, Michela, 2009. "Does beta move with news? Systematic risk and firm-specific information flows," LSE Research Online Documents on Economics 24421, London School of Economics and Political Science, LSE Library.
- Martin Hoesli & Richard Malle, 2021. "Commercial Real Estate Prices and Covid-19," Working Papers hal-03186131, HAL.
- 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.
More about this item
Keywords
Effects; Asset Comovement; Fundamental Factors; Sentiments and Market Friction; REITs and REOCs;All these keywords.
JEL classification:
- L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ire:issued:v:24:n:02:2021:p:185-220. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: IRER Graduate Assistant/Webmaster (email available below). General contact details of provider: https://www.gssinst.org/gssinst/index.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.