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The underlying return-generating factors for REIT returns : an application of independent component analysis

Lizieri, Colin; Satchell, Stephen; Zhang, Qi - In: Real estate economics : journal of the American Real … 35 (2007) 4, pp. 569-598

Persistent link: https://www.econbiz.de/10003640860

Local Beta : Have Location Risks Been Priced in REIT Returns?

Zhu, Bing; Lizieri, Colin - 2021

This paper studies the pricing of the risk associated with the location of the assets. The location risk is measured by ‘local beta’, which combines the systematic risk of local property markets and the property allocation strategy of real estate firms. The empirical results confirm a higher...

Persistent link: https://www.econbiz.de/10013239899

Modelling emerging market risk premia using higher moments

Hwang, Soosung; Satchell, Stephen - 1998

Persistent link: https://www.econbiz.de/10000656425

An integrated risk measure with application to UK asset allocation

Damant, David C.; Hwang, Soosung; Satchell, Stephen - 1997

Persistent link: https://www.econbiz.de/10000640903

UK measures of firm-lived equity duration

Lewin, Richard A.; Sardy, Marc J.; Satchell, Stephen - In: Value creation in multinational enterprise, (pp. 307-338). 2007

Persistent link: https://www.econbiz.de/10003423145

A demystification of the Black-Litterman model : managing quantitative and traditional portfolio construction

Satchell, Stephen; Scowcroft, Alan - In: Forecasting expected returns in the financial markets, (pp. 39-53). 2007

Persistent link: https://www.econbiz.de/10003557932

Some exact results for an asset pricing test based on the average F distribution

Hwang, Soosung; Satchell, Stephen - In: Theoretical economics letters 2 (2012) 5, pp. 435-437

Persistent link: https://www.econbiz.de/10009746710

Modeling style rotation : switching and re-switching

Golosov, Edward; Satchell, Stephen - In: Journal of time series econometrics 6 (2014) 2, pp. 103-128

Persistent link: https://www.econbiz.de/10010401130

Defining single asset price momentum in terms of a stochastic process

Hong, KiHoon Jimmy; Satchell, Stephen - In: Theoretical economics letters 2 (2012) 3, pp. 274-277

Persistent link: https://www.econbiz.de/10009703166

The sensitivity of beta to the time horizon when log prices follow an Ornstein-Uhlenbeck process

Hong, KiHoon Jimmy; Satchell, Stephen - In: The European journal of finance 20 (2014) 1/3, pp. 264-290

Persistent link: https://www.econbiz.de/10010462111