International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks
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DOI: 10.1080/0959991032000109517
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References listed on IDEAS
- Kothari, S. P. & Shanken, Jay, 1997. "Book-to-market, dividend yield, and expected market returns: A time-series analysis," Journal of Financial Economics, Elsevier, vol. 44(2), pages 169-203, May.
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Cited by:
- Dirk Brounen & Piet Eichholtz & David Ling, 2007. "Trading Intensity and Real Estate Performance," The Journal of Real Estate Finance and Economics, Springer, vol. 35(4), pages 449-474, November.
- Camilo Serrano & Martin Hoesli, 2012. "Fractional Cointegration Analysis of Securitized Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 319-338, April.
- Craig Ellis & Patrick J. Wilson & Ralf Zurbruegg, 2007. "Real Estate ‘Value’ Stocks and International Diversification," Journal of Property Research, Taylor & Francis Journals, vol. 24(3), pages 265-287, September.
- Christian Pierdzioch & Daniel Hartmann, 2013. "Forecasting Eurozone real-estate returns," Applied Financial Economics, Taylor & Francis Journals, vol. 23(14), pages 1185-1196, July.
- Chyi Lin Lee, 2009. "Housing price volatility and its determinants," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 2(3), pages 293-308, August.
- Omokolade Akinsomi & Goodness C. Aye & Vassilios Babalos & Fotini Economou & Rangan Gupta, 2016.
"Real estate returns predictability revisited: novel evidence from the US REITs market,"
Empirical Economics, Springer, vol. 51(3), pages 1165-1190, November.
- Kola Akinsomi & Goodness C. Aye & Vassilios Babalos & Fotini Economou & Rangan Gupta, 2014. "Real Estate Returns Predictability Revisited: Novel Evidence from the US REITs Market," Working Papers 201454, University of Pretoria, Department of Economics.
- Demetris Demetriou, 2017. "A spatially based artificial neural network mass valuation model for land consolidation," Environment and Planning B, , vol. 44(5), pages 864-883, September.
- Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 509-580, Elsevier.
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