In a comparison between Australian and United Kingdom property markets this paper re-examines the sensitivity and importance of interest rates and stock market price behaviour on securitised property by decomposing their long-run impact between transient and permanent effects. This is achieved...

This study aims to examine the relationship between interest rate movements and the price reaction of UK property stocks. While previous exists concerning the sensitivity of indirect real estate vehicles to interest rates, this study extends this literature by examining the time-varying...

This paper constructs synchronously priced indices of securitised property listed on the NYSE and LSE. The indices are then utilised to examine dynamic information flows between the two markets. By analysing returns behaviour, asymmetric volatility spill over effects and exceedance correlations,...

ERES:conference

[abstract missing - contribution appeared in the programme]