Unsmoothing Real Estate Returns: A Regime-Switching Approach
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Abstract
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DOI: j.1540-6229.2012.00331.x
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Other versions of this item:
- Colin Lizieri & Warapong Wongwachara & Stephen Satchell, 2010. "Unsmoothing Real Estate Returns: A Regime-Switching Approach," ERES eres2010_235, European Real Estate Society (ERES).
Citations
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Cited by:
- Jean‐Christophe Delfim & Martin Hoesli, 2021.
"Robust desmoothed real estate returns,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(1), pages 75-105, March.
- Jean-Christophe Delfim & Martin Hoesli, 2019. "Robust Desmoothed Real Estate Returns," Swiss Finance Institute Research Paper Series 19-32, Swiss Finance Institute.
- Patrick Krieger & Carsten Lausberg & Kristin Wellner, 2018. "Einblicke in die Gründe für nicht-normalverteilte Immobilienrenditen: eine explorative Untersuchung deutscher Wohnimmobilienportfolios [Insights into the reasons for non-normal real estate returns:," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 4(1), pages 49-79, November.
- Jaroslav Kaizr, 2019. "Some reflections on commercial real estate indices [Vybrané úvahy nad indexy komerčních nemovitostí]," Oceňování, Prague University of Economics and Business, vol. 12(1), pages 29-41.
- McKenzie, Michael & Satchell, Stephen & Wongwachara, Warapong, 2014. "Converting true returns into reported returns: A general theory of linear smoothing and anti-smoothing," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 215-229.
- Shizhen Wang & David Hartzell, 2021. "Real Estate Return in Hong Kong and its Determinants: A Dynamic Gordon Growth Model Analysis," International Real Estate Review, Global Social Science Institute, vol. 24(1), pages 113-138.
- Farrelly, Kieran & Stevenson, Simon, 2019. "The risk and return of private equity real estate funds," Global Finance Journal, Elsevier, vol. 42(C).
- Kelvin Jui Keng Tan, 2017. "Why Do Overconfident REIT CEOs Issue More Debt? Mechanisms and Value Implications," Abacus, Accounting Foundation, University of Sydney, vol. 53(3), pages 319-348, September.
- Pin-te Lin & Franz Fuerst, 2014. "The integration of direct real estate and stock markets in Asia," Applied Economics, Taylor & Francis Journals, vol. 46(12), pages 1323-1334, April.
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JEL classification:
- R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location
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