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Real Estate Returns: A Comparison with Other Investments

Citations

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Cited by:

  1. Winston T.H. Koh & Edward H.K. Ng, 2004. "Investing in Real Estate: Mortgage Financing Practices and Optimal Holding Period," International Real Estate Review, Global Social Science Institute, vol. 7(1), pages 71-97.
  2. Wolfgang Bessler & Julian Holler & Philipp Kurmann, 2012. "Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 109-141, March.
  3. Arkadiusz Górski & Agnieszka Parkitna & Kamila Urbańska, 2021. "Identification of risks of investments into residential premises for rent in Poland," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 31(4), pages 53-68.
  4. Tsangyao Chang & Xiao-lin Li & Stephen M. Miller & Mehmet Balcilar & Rangan Gupta, 2013. "The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains," Working papers 2013-34, University of Connecticut, Department of Economics.
  5. Michael Devaney & William Rayburn, 1988. "When a House Is More Than a Home: Performance of the Household Portfolio," Journal of Real Estate Research, American Real Estate Society, vol. 3(1), pages 75-85.
  6. Christy Siegel & Steven B. Caudill & Franklin G. Mixon, 2013. "Clear skies, dark waters: The Gulf oil spill and the price of coastal condominiums in Alabama," Economics and Business Letters, Oviedo University Press, vol. 2(2), pages 42-53.
  7. Dimitrios Gounopoulos & Kyriaki Kosmidou & Dimitrios Kousenidis & Victoria Patsika, 2019. "The investigation of the dynamic linkages between real estate market and stock market in Greece," The European Journal of Finance, Taylor & Francis Journals, vol. 25(7), pages 647-669, May.
  8. William Goetzmann & Eduardas Valaitis, 2006. "Simulating Real Estate in the Investment Portfolio: Model Uncertainty and Inflation Hedging," Yale School of Management Working Papers amz2476, Yale School of Management, revised 01 May 2006.
  9. David J. Hartzell & Robert H. Pittman & David H. Downs, 1994. "An Updated Look at the Size of the U.S. Real Estate Market Portfolio," Journal of Real Estate Research, American Real Estate Society, vol. 9(2), pages 197-212.
  10. Pat Wilson & John Okunev & Guy Ta, 1994. "Are Real Estate and Securities Markets Integrated? Some Australian Evidence," Working Paper Series 42, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  11. Lori L. Taylor, 1998. "Does the United States still overinvest in housing?," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q II, pages 10-18.
  12. Aekkachai NITTAYAGASETWAT & Jiroj BURANASIRI, 2016. "Performance Comparison Between Real Estate Securities and Real Estate Investment Using Stochastic Dominance and Mean-Variance Analysis," International Conference on Economic Sciences and Business Administration, Spiru Haret University, vol. 3(1), pages 208-219, October.
  13. Hooi Hooi Lean & Russell Smyth, 2011. "REITs, interest rates and stock prices in Malaysia," Monash Economics Working Papers 01-11, Monash University, Department of Economics.
  14. 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.
  15. Brent W. Ambrose & Hugh O. Nourse, 1993. "Factors Influencing Capitalization Rates," Journal of Real Estate Research, American Real Estate Society, vol. 8(2), pages 221-238.
  16. Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2019. "The Total Risk Premium Puzzle?," Working Paper Series 2019-10, Federal Reserve Bank of San Francisco.
  17. Mats Wilhelmsson & Jianyu Zhao, 2018. "Risk Assessment of Housing Market Segments: The Lender’s Perspective," JRFM, MDPI, vol. 11(4), pages 1-22, October.
  18. I.Fatnassi & S.Chawechi & Z.Ftiti & A.Ben Maatoug, 2014. "Effects of Monetary Policy on the REIT Returns," Working Papers 2014-63, Department of Research, Ipag Business School.
  19. Fuad Hasanov & Douglas C. Dacy, 2009. "Yet Another View on Why a Home Is One's Castle," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(1), pages 23-41, March.
  20. Zhou, Zhengyi, 2016. "Overreaction to policy changes in the housing market: Evidence from Shanghai," Regional Science and Urban Economics, Elsevier, vol. 58(C), pages 26-41.
  21. K. C. Chan & Patric H. Hendershott & Anthony B. Sanders, 1990. "Risk and Return on Real Estate: Evidence from Equity REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(4), pages 431-452, December.
  22. Marc Simpson & Sanjay Ramchander & James Webb, 2007. "The Asymmetric Response of Equity REIT Returns to Inflation," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 513-529, May.
  23. Theodore M. Crone & Richard Voith, 1996. "Risk and return in the single-family housing market," Working Papers 96-16, Federal Reserve Bank of Philadelphia.
  24. I-Chun Tsai & Cheng-Feng Lee & Ming-Chu Chiang, 2012. "The Asymmetric Wealth Effect in the US Housing and Stock Markets: Evidence from the Threshold Cointegration Model," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 1005-1020, November.
  25. Jeffrey A. Kolb & Joel D. Scheraga, 1990. "Discounting the benefits and costs of environmental regulations," Journal of Policy Analysis and Management, John Wiley & Sons, Ltd., vol. 9(3), pages 381-390.
  26. Mohammed, Abubakar Sadiq & Abbas, Jannat & Dzimale, Augustine, 2023. "Navigating Land Acquisition Hurdles in Ghana’s Real Estate Development," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 7(12), pages 1084-1098, December.
  27. Marc A. Louargand, 1992. "A Survey of Pension Fund Real Estate Portfolio Risk Management Practices," Journal of Real Estate Research, American Real Estate Society, vol. 7(4), pages 361-374.
  28. Andrew J. Filardo, 2000. "Monetary policy and asset prices," Economic Review, Federal Reserve Bank of Kansas City, vol. 85(Q III), pages 11-37.
  29. Maria Mansanet-Bataller, 2011. "CO2 Prices and Portfolio Management during Phase II of the EU ETS," Working Papers 1101, Chaire Economie du climat.
  30. 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).
  31. Arnold L. Redman & Herman Manakyan & Kartono Liano, 1997. "Real Estate Investment Trusts and Calendar Anomalies," Journal of Real Estate Research, American Real Estate Society, vol. 14(1), pages 19-28.
  32. Johnson, Michael & O'Connor, Ian & Malcolm, Bill, 2006. "Agribusiness Assets in Investment Portfolios," 2006 Conference (50th), February 8-10, 2006, Sydney, Australia 139794, Australian Agricultural and Resource Economics Society.
  33. Johnson, Michael & Malcolm, Bill & O'Connor, Ian, 2006. "The Role of Agribusiness Assets in Investment Portfolios," Australasian Agribusiness Review, University of Melbourne, Department of Agriculture and Food Systems, vol. 14.
  34. Dietz, Robert D. & Haurin, Donald R., 2003. "The social and private micro-level consequences of homeownership," Journal of Urban Economics, Elsevier, vol. 54(3), pages 401-450, November.
  35. Fatnassi, Ibrahim & Slim, Chaouachi & Ftiti, Zied & Ben Maatoug, Abderrazek, 2014. "Effects of monetary policy on the REIT returns: Evidence from the United Kingdom," Research in International Business and Finance, Elsevier, vol. 32(C), pages 15-26.
  36. Umit Erol & Aydin Yuksel & Asli Yuksel & Hakki Ozturk, 2020. "Cointegration and adjustment dynamics of REIT and stock markets during the global financial and European debt crises," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 23(1), pages 23-49.
  37. Patric H. Hendershott & Thomas G. Thibodeau & Halbert C. Smith, 2009. "Evolution of the American Real Estate and Urban Economics Association1," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(4), pages 559-598, December.
  38. Yang Liu, "undated". "The Inter-Relations Between Chinese Housing Market, Stock Market And Consumption Market," Review of Socio - Economic Perspectives 202051, Reviewsep.
  39. Ka-Shing Cheung & Chung-Yim Yiu & Yihan Guan, 2022. "Homebuyer Purchase Decisions: Are They Anchoring to Appraisal Values or Market Prices?," JRFM, MDPI, vol. 15(4), pages 1-13, March.
  40. David Geltner, 1989. "Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 17(4), pages 463-481, December.
  41. Herrera, Santiago & Perry, Guillermo, 2001. "Tropical bubbles : asset prices in Latin America, 1980-2001," Policy Research Working Paper Series 2724, The World Bank.
  42. William C. Wheaton & Raymond G. Torto, 1989. "Income and Appraised Values: A Reexamination of the FRC Returns Data," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 17(4), pages 439-449, December.
  43. Yuki Toyoshima, 2018. "Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets," JRFM, MDPI, vol. 11(2), pages 1-10, April.
  44. Abuzayed, Bana & Al-Fayoumi, Nedal & Bouri, Elie, 2020. "Co-movement across european stock and real estate markets," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 189-208.
  45. Armonat, Stefan & Pfnür, Andreas, 2002. "Basel II and the German credit crunch?," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35585, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  46. Theodore M. Crone & Richard P. Voith, 1999. "Risk and Return within the Single‐Family Housing Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(1), pages 63-78, March.
  47. Yuh, Yoonkyung & Hanna, Sherman & Phillips Montalto, Catherine, 1998. "Mean and pessimistic projections of retirement adequacy," Financial Services Review, Elsevier, vol. 7(3), pages 175-193.
  48. Joseph Gyourko & Peter Linneman, 1990. "Analysing the Risk of Income-producing Real Estate," Urban Studies, Urban Studies Journal Limited, vol. 27(4), pages 497-508, August.
  49. Robert Edelstein & Daniel Quan, 2006. "How Does Appraisal Smoothing Bias Real Estate Returns Measurement?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(1), pages 41-60, February.
  50. Arjun Chatrath & Youguo Liang, 1998. "REITs and Inflation: A Long-Run Perspective," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 311-326.
  51. Ziobrowski, Brigitte J. & Ziobrowski, Alan J., 1995. "Exchange rate risk and internationally diversified portfolios," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 65-81, February.
  52. 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.
  53. Fuad Hasanov & Douglas Dacy, 2005. "Measuring and Analyzing Returns on Aggregate Residential Housing," Finance 0510005, University Library of Munich, Germany.
  54. Pierre-Arnaud Drouhin & Arnaud Simon & Yasmine Essafi, 2016. "Forward Curve Risk Factors Analysis in the UK Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, vol. 53(4), pages 494-526, November.
  55. Benefield, Justin D. & Anderson, Randy I. & Zumpano, Leonard V., 2009. "Performance differences in property-type diversified versus specialized real estate investment trusts (REITs)," Review of Financial Economics, Elsevier, vol. 18(2), pages 70-79, April.
  56. Tiffany Hutcheson & Graeme Newell, 2018. "Decision-making in property Investment by Property Fund Managers," ERES eres2018_295, European Real Estate Society (ERES).
  57. Vishaal Baulkaran & Pawan Jain & Mark Sunderman, 2019. "Housing “Beta”: Common Risk Factor in Returns of Stocks," The Journal of Real Estate Finance and Economics, Springer, vol. 58(3), pages 438-456, April.
  58. Li, Xiao-Lin & Chang, Tsangyao & Miller, Stephen M. & Balcilar, Mehmet & Gupta, Rangan, 2015. "The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 220-233.
  59. I-Chun Tsai, 2012. "Housing Supply, Demand and Price: Construction Cost, Rental Price and House Price Indices," Asian Economic Journal, East Asian Economic Association, vol. 26(4), pages 381-396, December.
  60. Kuang-Liang Chang & Nan-Kuang Chen & Charles Ka Yui Leung, 2016. "Losing Track of the Asset Markets: the Case of Housing and Stock," International Real Estate Review, Global Social Science Institute, vol. 19(4), pages 435-492.
  61. Koon Nam Henry Lee, 2017. "Residential property price-stock price nexus in Hong Kong: new evidence from ARDL bounds test," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 10(2), pages 204-220, April.
  62. Di, Zhu Xiao & Belsky, Eric & Liu, Xiaodong, 2007. "Do homeowners achieve more household wealth in the long run?," Journal of Housing Economics, Elsevier, vol. 16(3-4), pages 274-290, November.
  63. Gang-Zhi Fan & Zsuzsa Huszár & Weina Zhang, 2013. "The Relationships between Real Estate Price and Expected Financial Asset Risk and Return: Theory and Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 46(4), pages 568-595, May.
  64. Justin D. Benefield & Randy I. Anderson & Leonard V. Zumpano, 2009. "Performance differences in property‐type diversified versus specialized real estate investment trusts (REITs)," Review of Financial Economics, John Wiley & Sons, vol. 18(2), pages 70-79, April.
  65. I-Chun Tsai, 2015. "Monetary policy and bubbles in the national and regional UK housing markets," Urban Studies, Urban Studies Journal Limited, vol. 52(8), pages 1471-1488, June.
  66. Mike Miles & John Pringle & Brian Webb, 1989. "Modeling the Corporate Real Estate Decision," Journal of Real Estate Research, American Real Estate Society, vol. 4(3), pages 47-66.
  67. Brett Snyder, 1996. "EPA Guidelines for Regulatory Impact Analysis," Others 9602003, University Library of Munich, Germany.
  68. Drouhin, Pierre-Arnaud, 2012. "Caractéristiques statistiques et dynamique de prix des produits dérivés immobiliers," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/10918 edited by Batsch, Laurent.
  69. repec:ipg:wpaper:2014-063 is not listed on IDEAS
  70. I-Chun Tsai, 2018. "Investigating Gender Differences in Real Estate Trading Sentiments," The American Economist, Sage Publications, vol. 63(2), pages 187-214, October.
  71. Rafael Lazimy, 2007. "Portfolio selection with divisible and indivisible assets: Mathematical algorithm and economic analysis," Annals of Operations Research, Springer, vol. 152(1), pages 273-295, July.
  72. Mohd Yahya Mohd Hussin & Fidlizan Muhammad & Azila Abdul Razak Fatimah Salwa Abdul Hadi & Pei-Tha Gan, 2017. "The Role of Macroeconomic Variables in the Islamic Real Estate Investment Trusts (I-REIT) Market in Malaysia," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 7(4), pages 911-926, April.
  73. Nguyen, Duc Khuong & Topaloglou, Nikolas & Walther, Thomas, 2020. "Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach," MPRA Paper 103870, University Library of Munich, Germany.
  74. Julian Diaz, III, 1997. "An Investigation into the Impact of Previous Expert Value Estimates on Appraisal Judgment," Journal of Real Estate Research, American Real Estate Society, vol. 13(1), pages 57-66.
  75. S.Aydin Yuksel & Asli Yuksel & Umit Erol & Hakki Ozturk, 2017. "The Impact of the Global Financial Crisis on the Co-Integration Relationship between Reit and Stock Markets: A Dynamic Co-Integration Approach," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(7), pages 86-98, July.
  76. Jung, Hosung & Lee, Jieun, 2017. "The effects of macroprudential policies on house prices: Evidence from an event study using Korean real transaction data," Journal of Financial Stability, Elsevier, vol. 31(C), pages 167-185.
  77. Essafi Zouari Yasmine & Nasreddine Aya & Simon Arnaud, 2020. "The Role of Housing in a Mixed-Asset Portfolio: The Particular Case of Direct Housing within the Greater Paris Region," Working Papers hal-02537087, HAL.
  78. G. Donald Jud & John D. Benjamin & G. Stacy Sirmans, 1996. "What Do We Know about Apartments and Their Markets?," Journal of Real Estate Research, American Real Estate Society, vol. 11(3), pages 243-258.
  79. Kim Hiang Liow & Felix Schindler, 2014. "An Assessment of the Relationship between Public Real Estate and Stock Markets at the Local, Regional, and Global Levels," International Real Estate Review, Global Social Science Institute, vol. 17(2), pages 157-202.
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