Cheong, Chee Seng; Gerlach, Richard; Stevenson, Simon; … - In: Review of Financial Economics 18 (2009) 2, pp. 103-111
This paper re-examines the sensitivity and importance of interest rates and stock market price behavior on securitised property by decomposing their long-run impact between transient and permanent effects. This is achieved in a framework that accounts for endogenously determined structural...
