Pricing Interest-Rate Risk for Mortgage REITs
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- Chien‐Yun Chang & Jian‐Hsin Chou & Hung‐Gay Fung, 2012. "Time dependent behavior of the Asian and the US REITs around the subprime crisis," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 30(3), pages 282-303, April.
- Ling T. He, 1998. "Cointegration and Price Discovery between Equity and Mortgage REITs," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 327-338.
- Geoffrey M. Ngene & Jinghua Wang, 2024. "Transitory and permanent shock transmissions between real estate investment trusts and other assets: Evidence from time‐frequency decomposition and machine learning," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(1), pages 539-573, March.
- W. Scott Frame & Eva Steiner, 2022.
"Quantitative easing and agency MBS investment and financing choices by mortgage REITs,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(4), pages 931-965, December.
- W. Scott Frame & Eva Steiner, 2020. "Quantitative Easing and Agency MBS Investment and Financing Choices by Mortgage REITs," Working Papers 2020, Federal Reserve Bank of Dallas, revised 27 Apr 2021.
- Woon Weng WONG & Wejendra Reddy, 2018. "Evaluation of Australian REIT Performance and the Impact of Interest Rates and Leverage," International Real Estate Review, Global Social Science Institute, vol. 21(1), pages 41-70.
- Youguo Liang & Michael Seiler & Arjun Chatrath, 1998.
"Are REIT Returns Hedgeable?,"
Journal of Real Estate Research, Taylor & Francis Journals, vol. 16(1), pages 87-98, January.
- Yougou Liang & Michael J. Seiler & Arjun Chatrath, 1998. "Are REIT Returns Hedgeable?," Journal of Real Estate Research, American Real Estate Society, vol. 16(1), pages 87-98.
- Conlin Lizieri & Steven Satchell & Elaine Worzala & Roberto Dacco', 1998.
"Real Interest Regimes and Real Estate Performance: A Comparison of UK and US Markets,"
Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 339-356.
- Colin Lizieri & Steven Satchell & Elaine Worzala & Roberto Dacco', 1998. "Real Interest Regimes and Real Estate Performance: A Comparison of U.K. and U.S. Markets," Journal of Real Estate Research, Taylor & Francis Journals, vol. 16(3), pages 339-356, January.
- Lee, Chien-Chiang & Chien, Mei-Se & Lin, Tsoyu Calvin, 2012. "Dynamic modelling of real estate investment trusts and stock markets," Economic Modelling, Elsevier, vol. 29(2), pages 395-407.
- Coletta Cuono Massimo & Busato Francesco, 2019. "U.S. REITs: A Financial Economics Review as of 2018," Real Estate Management and Valuation, Sciendo, vol. 27(2), pages 20-32, June.
- Don Bredin & Gerard O’Reilly & Simon Stevenson, 2007. "Monetary Shocks and REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 35(3), pages 315-331, October.
- Ran Lu-Andrews & Yin Yu-Thompson, 2018. "The Geography of REIT Investment in Audit Services," International Real Estate Review, Global Social Science Institute, vol. 21(2), pages 169-226.
- Minye Zhang & Yongheng Deng, 2008. "REITs Return Behavior and Legal Infrastructure: The 1993 Revenue Reconciliation Act & Inspirations for China's Emerging REITS Market," Working Paper 8532, USC Lusk Center for Real Estate.
- Wu, Pei-Shan & Huang, Chien-Ming & Chiu, Chien-Liang, 2011. "Effects of structural changes on the risk characteristics of REIT returns," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 645-653, October.
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JEL classification:
- L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
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