The Predictability of REIT Returns and Market Segmentatio
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References listed on IDEAS
- Joseph Gyourko & Edward Nelling, 1996.
"Systematic Risk and Diversification in the Equity REIT Market,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 24(4), pages 493-515, December.
- Joseph Gyourko & Edward Nelling, "undated". "Systematic Risk and Diversification in the Equity REIT Market," Rodney L. White Center for Financial Research Working Papers 11-94, Wharton School Rodney L. White Center for Financial Research.
- Joseph Gyourko & Donald B. Keim, 1992. "What Does the Stock Market Tell Us About Real Estate Returns?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 20(3), pages 457-485, September.
- Joseph Gyourko & Donald B. Keim, "undated". "What Does the Stock Market Tell Us About Real Estate Returns? (Revision of 18-91) (Reprint 030)," Rodney L. White Center for Financial Research Working Papers 11-92, Wharton School Rodney L. White Center for Financial Research.
- F.C. Neil Myer & James R. Webb, 1994. "Retail Stocks, Retail REITs, and Retail Real Estate," Journal of Real Estate Research, American Real Estate Society, vol. 9(1), pages 65-84.
Citations
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Cited by:
- John Cotter & Simon Stevenson, 2006.
"Multivariate Modeling of Daily REIT Volatility,"
The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 305-325, May.
- Cotter, John & Stevenson, Simon, 2005. "Multivariate Modeling of Daily REIT Volatility," MPRA Paper 3524, University Library of Munich, Germany.
- John Cotter & Simon Stevenson, 2011. "Multivariate Modeling of Daily REIT Volatility," Papers 1103.5660, arXiv.org.
- John Cotter & Simon Stevenson, 2011. "Multivariate Modelling of Daily REIT Volatility," Working Papers 200517, Geary Institute, University College Dublin.
- Michael Cooper & David H. Downs, 1999.
"Real Estate Securities and a Filter-based, Short-term Trading Strategy,"
Journal of Real Estate Research, American Real Estate Society, vol. 18(2), pages 313-334.
- Michael Cooper & David Downs & Gary Patterson, 1999. "Real Estate Securities and a Filter-based, Short-term Trading Strategy," Journal of Real Estate Research, Taylor & Francis Journals, vol. 18(2), pages 313-333, January.
- 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.
- Edward Nelling & Joseph Gyourko, 1998. "The Predictability of Equity REIT Returns," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 251-268.
- James Payne & Hassan Mohammadi, 2004. "The transmission of shocks across real estate investment trust (REIT) markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(17), pages 1211-1217.
- Simon Stevenson, 2002. "Momentum Effects and Mean Reversion in Real Estate Securities," Journal of Real Estate Research, American Real Estate Society, vol. 23(1/2), pages 47-64.
- James Payne, 2003. "Shocks to macroeconomic state variables and the risk premium of REITs," Applied Economics Letters, Taylor & Francis Journals, vol. 10(11), pages 671-677.
- John Cotter & Simon Stevenson, 2007.
"Uncovering Volatility Dynamics in Daily REIT Returns,"
Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 13(2), pages 119-128, January.
- Cotter, John & Stevenson, Simon, 2004. "Uncovering Volatility Dynamics in Daily REIT Returns," MPRA Paper 3533, University Library of Munich, Germany, revised 2005.
- John Cotter & Simon Stevenson, 2011. "Uncovering Volatility Dynamics in Daily REIT Returns," Papers 1103.5417, arXiv.org.
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JEL classification:
- L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
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