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The information content of the NCREIF index

Li, Jinliang; Mooradian, Robert M.; Yang, Shiawee - In: The journal of real estate research 31 (2009) 1, pp. 93-116

Persistent link: https://www.econbiz.de/10003831660

The Information Content of the NCREIF Index

Li, Jinliang - 2012

Council of Real Estate Investment Fiduciaries (NCREIF) index. NCREIF total return and appreciation indexes are smooth and exhibit strong autocorrelation and autoregressive heteroscedasticity. We test the information transmission from the NAREIT index to the NCREIF index. In our VAR analysis, the...

Persistent link: https://www.econbiz.de/10013116718

Cancellation strategies in commercial real estate leasing

Mooradian, Robert M.; Yang, Shiawee X. - In: Real estate economics : journal of the American Real … 28 (2000) 1, pp. 65-88

Persistent link: https://www.econbiz.de/10001487094

Commercial real estate leasing, asymmetric information, and monopolistic competition

Mooradian, Robert M.; Yang, Shiawee - In: Real estate economics : journal of the American Real … 30 (2002) 2, pp. 293-315

Persistent link: https://www.econbiz.de/10001683056

Is Illiquidity a Risk Factor? A Critical Look at Commission Costs

Li, Jinliang - 2012

A quarterly time series of the aggregate commission rate for NYSE trading over 1980-2003 allowed an investigation of the information conveyed by this liquidity risk metric and analysis of its critical role in the generation of stock returns. The aggregate commission rate was found to be highly...

Persistent link: https://www.econbiz.de/10012755355

Cash trading and index futures price volatility

Li, Jinliang - In: The journal of futures markets 31 (2011) 5, pp. 465-486

Persistent link: https://www.econbiz.de/10009009223

When noise trading fades, volatility rises

Li, Jinliang - In: Review of quantitative finance and accounting 47 (2016) 3, pp. 475-512

Persistent link: https://www.econbiz.de/10011595653

Daily return volatility, bid-ask spreads, and information flow : analyzing the information content of volume

Li, Jinliang; Wu, Chunchi - In: The journal of business : B 79 (2006) 5, pp. 2697-2739

Persistent link: https://www.econbiz.de/10003406554

Bounded influence estimator for GARCH models : evidence from foreign exchange rates

Li, Jinliang; Kao, Chihwa; Zhang, Wei - In: Applied economics 42 (2010) 10/12, pp. 1437-1445

Persistent link: https://www.econbiz.de/10008658420

Stochastic volatility, liquidity and intraday information flow

Li, Jinliang; Wu, Chunchi - In: Applied economics letters 18 (2011) 16/18, pp. 1511-1515

Persistent link: https://www.econbiz.de/10009383452