Response speeds of direct and securitized real estate to shocks in the fundamentals
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- Joseph L. Pagliari & Kevin A. Scherer & Richard T. Monopoli, 2005. "Public Versus Private Real Estate Equities: A More Refined, Long-Term Comparison," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 33(1), pages 147-187, March.
- Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
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Cited by:
- Hoesli, Martin & Oikarinen, Elias, 2012.
"Are REITs real estate? Evidence from international sector level data,"
Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1823-1850.
- Martin Hoesli & Elias Oikarinen, 2012. "Are REITs Real Estate? Evidence from International Sector Level Data," Swiss Finance Institute Research Paper Series 12-15, Swiss Finance Institute.
- Martin Hoesli & Elias Oikarinen, 2012. "Are REITs real estate? Evidence from international sector level data," ERES eres2012_232, European Real Estate Society (ERES).
- Martin Hoesli & Elias Oikarinen, 2011. "Are Reits Real Estate? Evidence from Sector Level Data," ERES eres2011_221, European Real Estate Society (ERES).
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More about this item
Keywords
Vector Autoregressive Models; Generalized Impulse Response Functions; Direct Real Estate; Securitized Real Estate; Dynamics;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-URE-2010-12-11 (Urban and Real Estate Economics)
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