Have a personal or library account? Click to login
By:
Open Access
|Apr 2018

References

  1. Alexander et al., 2002, Conintegration and Asset Allocation: A New Active Hedge Fund Strategies. Financial Risk and Financial Risk Management. 16, pp.65-89.
  2. Ambrose B.W., Lee D.W., Peek J., 2007, Comovements after Joining an Index: Spillovers of Nonfundamental Effects. Real Estate Economics, 35, pp.57–90.10.1111/j.1540-6229.2007.00182.x
  3. Balduzzi J. 1995, Stock Returns, Inflation and the ‘Proxy Hypothesis: A New Look at the Data. Economics Letters, 48, pp. 47-78.10.1016/0165-1765(94)00568-M
  4. Bierens H.J., Martins L.F., 2010, Time varying cointegration. Econometric Theory.10.1017/S0266466609990648
  5. Candelon B., Lütkepohl H., 2001, On the Reliability of Chow-type Tests for Parameter Constancy in Multivariate Dynamic Models. Economics Letters. 73, pp.155-160.10.1016/S0165-1765(01)00478-5
  6. Clayton, J., MacKinnon G., 2001, The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns. Journal of Real Estate Portfolio Management, 7, pp.43-54.10.1080/10835547.2001.12089632
  7. Clayton J., MacKinnon G., 2003, The Relative Importance of Stock, Bond, and Real Estate Factors in Explaining REIT Returns. Journal of Real Estate Finance and Economics 27, pp.39-60.10.1023/A:1023607412927
  8. Clayton J., MacKinnon G., 2009, Real Estate Investment Trusts: The U.S. Experience and Lessons from the UK. IPF Research Report.
  9. Fama, 1981, Stock Returns, Real Activity, Inflation, and Money. American Economic Review, 71, pp.201-231.
  10. Fisher J., Geltner D., Webb B., 1994, Value Indices of Commercial Real Estate: A Comparison of Index Construction Methods. Journal of Real Estate Finance and Economics, 9, pp.137-164.10.1007/BF01099972
  11. Fugazza C., Guidolin M., Nicodano G., 2007, Investing for the Long-run in European Real Estate. Journal of Real Estate Finance and Economics. 34: pp.35-80.10.1007/s11146-007-9002-5
  12. Ghosh C., Miles M., Sirmans C.F., 1996, Are REITs stocks? Real Estate Finance, 13(3), pp.13-25.
  13. Glascock J., Lu C., So R., 2000, Further Evidence on the Integration of REIT, Bond and Stock Returns. Journal of Real Estate Finance and Economics, 20, pp.177-194.10.1023/A:1007877321475
  14. Hoesli M., Lizieri C., MacGregor B., 2008, The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach. Journal of Real Estate Finance and Economics, 38, pp.183-206.10.1007/s11146-007-9062-6
  15. Hoesli M., Oikarinen E., 2012, Are REITs real estate? Evidence from international sector level data. Journal of International Money and Finance, 31, pp.1823-1850.10.1016/j.jimonfin.2012.05.017
  16. Hoesli M., Serrano C., 2007, Securitized Real Estate and its Link with Financial Assets and Real Estate. An International Analysis. Journal of Real Estate Literature, 15, pp.59-84.10.1080/10835547.2006.12090193
  17. Johansen S., 1988, Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12: pp.231-254.10.1016/0165-1889(88)90041-3
  18. Li Y., Wang K., 1995, The predictability of REIT returns and market segmentation. Journal of Real Estate Research, 10, pp.471-482.10.1080/10835547.1995.12090800
  19. Ling D.C., Naranjo A., 1999, The Integration of Commercial Real Estate Markets and Stock Markets. Real Estate Economics, 27, pp.483-515.10.1111/1540-6229.00781
  20. Liu C., Mei J., 1992, The Predictability of Returns on Equity REITs and Their Co-movement with Other Assets. Journal of Real Estate Finance and Economics, 5, pp.401-418.10.1007/BF00174808
  21. Morawski J., Rehkugler H., Füss R., 2008, The nature of listed real estate companies: Property or equity market? Financial Markets and Portfolio Management, 22, pp.101-126.10.1007/s11408-008-0075-9
  22. Oikarinen E., Hoesli M., Serrano C., 2011, The Long-Run Dynamics between Direct and Securitized Real Estate. Journal of Real Estate Research, 33(1), pp.73-103.10.1080/10835547.2011.12091299
  23. Ong S.E., 1995, Singapore Real Estate and Property Stocks: A Cointegration Test. Journal of Property Research, 12, pp.29–39.10.1080/09599919508724127
  24. Pagliari J.L., Scherer K.A., Monopoli R.T., 2005, Public versus Private Real Estate Equities: A More Refined, Long-Term Comparison. Real Estate Economics, 33(1), pp.147-187.10.1111/j.1080-8620.2005.00115.x
  25. Quan D.C., Titman S., 1999, Do Real Estate Prices and Stock Prices Move Together? An International Analysis. Real Estate Economics, 27(2), pp.183-207.10.1111/1540-6229.00771
  26. Schätz A., Sebastian S.P., 2011, Eine VECM-Analyse der Interaktion von Immobilienaktien mit Direktanlagen, Aktienmarkt und Realwirtschaft. Zeitschrift für Immobilienökonomie 10(1), pp.83-107., A VECM analysis of the interaction of real estate stocks with direct investments, the stock market and the real economy. Journal of Real Estate Economics)
  27. Serrano C., Hoesli M., 2012, Fractional Cointegration Analysis of Securitized Real Estate. Journal of Real Estate Finance and Economics, 44, pp.319-338.10.1007/s11146-009-9231-x
  28. Simon S., Ng W.L., 2009, The Effect of Real Estate Downturn on the Link between REITs and the Stock Market. Journal of Real Estate Portfolio Management, 15(3), pp. 211-219.10.1080/10835547.2009.12089848
  29. Tsai I.C., Chen M.C., Sing T. F., 2007, Do REITs behave more like real estate now? Working paper.10.2139/ssrn.1079590
  30. Westerheide P., 2006, Cointegration of Real Estate Stocks and REITs with Common Stocks, Bonds and Consumer Price Inflation: An International Comparison, in: Rottke, N.B. (ed.) Handbook Real Estate Capital Markets, pp.59-74.10.2139/ssrn.927712
Language: English
Page range: 26 - 38
Published on: Apr 16, 2018
Published by: Real Estate Management and Valuation
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues per year

© 2018 Bing Zhu, published by Real Estate Management and Valuation
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.