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Monetary Shocks and REIT Returns

  • Don Bredin

    ()

  • Gerard O’Reilly

    ()

  • Simon Stevenson

    ()

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File URL: http://hdl.handle.net/10.1007/s11146-007-9038-6
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Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 35 (2007)
Issue (Month): 3 (October)
Pages: 315-331

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Handle: RePEc:kap:jrefec:v:35:y:2007:i:3:p:315-331
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=102945

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  1. Berry, Thomas D & Howe, Keith M, 1994. " Public Information Arrival," Journal of Finance, American Finance Association, vol. 49(4), pages 1331-46, September.
  2. Allen, Marcus T & Madura, Jeff & Springer, Thomas M, 2000. "REIT Characteristics and the Sensitivity of REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 21(2), pages 141-52, September.
  3. Mitchell, Mark L & Mulherin, J Harold, 1994. " The Impact of Public Information on the Stock Market," Journal of Finance, American Finance Association, vol. 49(3), pages 923-50, July.
  4. John Cotter & Simon Stevenson, 2011. "Multivariate Modelling of Daily REIT Volatility," Working Papers 200517, Geary Institute, University College Dublin.
  5. Castanias, Richard P, II, 1979. "Macroinformation and the Variability of Stock Market Prices," Journal of Finance, American Finance Association, vol. 34(2), pages 439-50, May.
  6. Swanson, Zane & Theis, John & Casey, K Michael, 2002. "REIT Risk Premium Sensitivity and Interest Rates," The Journal of Real Estate Finance and Economics, Springer, vol. 24(3), pages 319-30, May.
  7. Edward J. Kane & Haluk Unal, 1988. "Change in Market Assessments of Deposit-Institution Riskiness," NBER Working Papers 2530, National Bureau of Economic Research, Inc.
  8. Gertler, M. & Gilchrist, S., 1992. "Monetary Policy, Business Cycles and the Behavior of Small Manufacturing Firms," Working Papers 92-08, C.V. Starr Center for Applied Economics, New York University.
  9. David H. Cutler & James M. Poterba & Lawrence H. Summers, 1988. "What Moves Stock Prices?," Working papers 487, Massachusetts Institute of Technology (MIT), Department of Economics.
  10. John Y. Campbell, 1990. "A Variance Decomposition for Stock Returns," NBER Working Papers 3246, National Bureau of Economic Research, Inc.
  11. Pearce, Douglas K & Roley, V Vance, 1985. "Stock Prices and Economic News," The Journal of Business, University of Chicago Press, vol. 58(1), pages 49-67, January.
  12. Refet S. Gürkaynak & Brian Sack & Eric Swanson, 2002. "Market-based measures of monetary policy expectations," Finance and Economics Discussion Series 2002-40, Board of Governors of the Federal Reserve System (U.S.).
  13. Conover, C. Mitchell & Jensen, Gerald R. & Johnson, Robert R., 1999. "Monetary environments and international stock returns," Journal of Banking & Finance, Elsevier, vol. 23(9), pages 1357-1381, September.
  14. William Poole & Robert H. Rasche, 2000. "Perfecting the market's knowledge of monetary policy," Working Papers 2000-010, Federal Reserve Bank of St. Louis.
  15. Thorbecke, Willem, 1997. " On Stock Market Returns and Monetary Policy," Journal of Finance, American Finance Association, vol. 52(2), pages 635-54, June.
  16. Ehrmann, Michael & Fratzscher, Marcel, 2004. "Taking stock: monetary policy transmission to equity markets," Working Paper Series 0354, European Central Bank.
  17. Roberto Rigobon & Brian Sack, 2001. "Measuring the reaction of monetary policy to the stock market," Finance and Economics Discussion Series 2001-14, Board of Governors of the Federal Reserve System (U.S.).
  18. Michael J. Dueker, 1992. "The response of market interest rates to discount rate changes," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 78-91.
  19. Ling T. He, & James. R. Webb & Neil Myer, 2003. "Interest Rate Sensitivities of REIT Returns," International Real Estate Review, Asian Real Estate Society, vol. 6(1), pages 1-21.
  20. Stevenson, Simon & Wilson, Pat & Zurbruegg, Ralf, 2005. "Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities," ERES eres2005_323, European Real Estate Society (ERES).
  21. Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-91, September.
  22. Ling, David C & Naranjo, Andy, 1997. "Economic Risk Factors and Commercial Real Estate Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 14(3), pages 283-307, May.
  23. 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.
  24. Simon Stevenson & Patrick Wilson & Ralf Zurbruegg, 2007. "Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities," The European Journal of Finance, Taylor & Francis Journals, vol. 13(8), pages 705-715.
  25. Lastrapes, W. D., 1998. "International evidence on equity prices, interest rates and money," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 377-406, June.
  26. Cook, Timothy & Hahn, Thomas, 1988. "The Information Content of Discount Rate Announcements and Their Effect on Market Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(2), pages 167-80, May.
  27. Daniel L. Thornton, 1996. "Does the Fed's new policy of immediate disclosure affect the market?," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 77-88.
  28. Waud, Roger N, 1970. "Public Interpretation of Federal Reserve Discount Rate Changes: Evidence on the 'Announcement Effect'," Econometrica, Econometric Society, vol. 38(2), pages 231-50, March.
  29. Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 751-782.
  30. Denise DiPasquale & William C. Wheaton, 1992. "The Markets for Real Estate Assets and Space: A Conceptual Framework," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 20(2), pages 181-198.
  31. Antulio N. Bomfim & Vincent R. Reinhart, 2000. "Making news: financial market effects of Federal Reserve disclosure practices," Finance and Economics Discussion Series 2000-14, Board of Governors of the Federal Reserve System (U.S.).
  32. V. Vance Roley & Rick Troll, 1984. "The impact of discount rate changes on market interest rates," Economic Review, Federal Reserve Bank of Kansas City, issue Jan, pages 27-39.
  33. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
  34. Jeffrey D. Fisher, 1992. "Integrating Research on Markets for Space and Capital†," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 20(2), pages 161-180.
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