<title>Summary</title> The major contribution of this paper is to recognize the possible presence of nonlinear return dependence in six major real estate markets (the US, UK, Japan, Australia, Hong Kong and Singapore) as well the resulting implications on return predictability and market interdependence. We...

The primary contribution of this study is to examine the changes in cross-market relationship in international public property markets from a volatility regime switching perspective from January 1990 to January 2012. We find that global developed public property markets can be adequately...

We explore the question of whether co‐skewness and co‐kurtosis risk measures can be added to supplement to the covariance risk in pricing global real estate securities and risk premium estimation. Based on a generalized four‐moment CAPM with two alternative world market proxies, we examine...

We find clustering, predictability, strong persistence and asymmetry in the conditional volatilities of national, regional and world real estate security markets. The world real estate security market volatility has a positive impact on the time‐varying real estate security market betas of...

We empirically explore integration among US, UK, Japanese and Australian securitised real estate markets and their interdependencies from the global stock market based on dynamic conditional correlation analysis and conditional return‐volatility beta methodology. Results imply that...

In this study, we investigate the role of real estate as a contributor to retailers’ corporate wealth. Employing a sample of 556 retail firms and data from 2001--2006, we first estimate and compare five popular stock market performance measures: median return, total risk, systematic risk,...

This study examines the relationship between interest rate risk and returns of traded property stocks from an asset pricing perspective. Three exogenous factors are included in the APT model, in particular unexpected long-term interest rate fluctuation, unexpected market returns and unexpected...

This study explores the key financial performance characteristics of successful listed real estate companies in an international context over 2000--2006. Financial success is measured using two different measures, i.e. the Sharpe ratio and Jensen’s alpha. We consider the three main...

This paper investigates empirically the changes in long‐run relationship and short‐term linkage among the US, UK and eight Asian real estate securities markets before, during, and after the 1997--1998 Asian financial crisis as well as in the most recent period. Using a combination of...