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Real Estate Risk Exposure of Equity Real Estate Investment Trusts

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  • Ming-Long Lee
  • Ming-Te Lee
  • Kevin Chiang

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  • Ming-Long Lee & Ming-Te Lee & Kevin Chiang, 2008. "Real Estate Risk Exposure of Equity Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 36(2), pages 165-181, February.
    • Handle: RePEc:kap:jrefec:v:36:y:2008:i:2:p:165-181
    DOI: 10.1007/s11146-007-9058-2
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    References listed on IDEAS

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    1. R J King, 1989. "Capital Switching and the Role of Ground Rent: 1 Theoretical Problems," Environment and Planning A, , vol. 21(4), pages 445-462, April.
    2. De Long, J Bradford, et al, 1990. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-395, June.
    3. 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.
    4. Ling T. He, 2002. "Excess Returns of Industrial Stocks and the Real Estate Factor," Southern Economic Journal, Southern Economic Association, vol. 68(3), pages 632-645, January.
    5. Igal Charney, 2001. "Three Dimensions of Capital Switching within the Real Estate Sector: A Canadian Case Study," International Journal of Urban and Regional Research, Wiley Blackwell, vol. 25(4), pages 740-758, December.
    6. Tuluca, Sorin A & Myer, F C Neil & Webb, James R, 2000. "Dynamics of Private and Public Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 21(3), pages 279-296, November.
    7. Glascock, John L & Lu, Chiuling & So, Raymond W, 2000. "Further Evidence on the Integration of REIT, Bond, and Stock Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 20(2), pages 177-194, March.
    8. S. Michael Giliberto, 1990. "Equity Real Estate Investment Trusts and Real Estate Returns," Journal of Real Estate Research, American Real Estate Society, vol. 5(2), pages 259-264.
    9. R J King, 1989. "Capital Switching and the Role of Ground Rent: 2 Switching between Circuits and Switching between Submarkets," Environment and Planning A, , vol. 21(6), pages 711-738, June.
    10. Ling T. He & F.C. Neil Myer & James R. Webb, 1997. "The Sensitivity of Bank Stocks to Mortgage Portfolio Composition," Journal of Real Estate Research, American Real Estate Society, vol. 13(1), pages 17-32.
    11. Kevin C.H. Chiang & Ming-Long Lee & Craig H. Wisen, 2005. "On the Time-Series Properties of Real Estate Investment Trust Betas," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 33(2), pages 381-396, June.
    12. Clayton, Jim & MacKinnon, Greg, 2003. "The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 27(1), pages 39-60, July.
    13. Karl E. Case & Robert J. Shiller, 2003. "Is There a Bubble in the Housing Market?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(2), pages 299-362.
    14. Ko Wang & John Erickson & Su Han Chan, 1995. "Does the REIT Stock Market Resemble the General Stock Market?," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 445-460.
    15. 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.
    16. He, Ling T & Myer, F C Neil & Webb, James R, 1996. "The Sensitivity of Bank Stock Returns to Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 12(2), pages 203-220, March.
    17. James D. Peterson & Cheng‐Ho Hsieh, 1997. "Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(2), pages 321-345, June.
    18. Loughran, Tim & Ritter, Jay R., 2000. "Uniformly least powerful tests of market efficiency," Journal of Financial Economics, Elsevier, vol. 55(3), pages 361-389, March.
    19. Hsieh, Chengho & Peterson, James D, 2000. "Book Assets, Real Estate, and Returns on Common Stock," The Journal of Real Estate Finance and Economics, Springer, vol. 21(3), pages 221-233, November.
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