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The dynamics of return co-movements and volatility spillover effects in Greater China public property markets and international linkages

Liow, Kim Hiang - In: Journal of property investment & finance 32 (2014) 6, pp. 610-641

Persistent link: https://www.econbiz.de/10010416248

Corporate real estate and stock market performance

Liow, Kim Hiang - In: The journal of real estate finance and economics 29 (2004) 1, pp. 119-140

Persistent link: https://www.econbiz.de/10002103288

Exploring a three-factor dependence structure of conditional volatilities : some quantile regression evidence from real estate investment trusts

Liow, Kim Hiang - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-13

We propose a simple three-factor pricing model, consisting of a local stock market index, a global REIT market index, and a global stock market index, to examine the dependence structure of conditional volatilities in the real estate investment trust (REIT) market from 11 countries over the...

Persistent link: https://www.econbiz.de/10013273545

Market efficiency and return predictability in the emerging securitized real estate markets

Schindler, Felix - In: Journal of real estate literature : a publication of … 19 (2011) 1, pp. 111-150

Persistent link: https://www.econbiz.de/10009384893

Multiple regimes and volatility transmission in securitized real estate markets

Liow, Kim Hiang; Chen, Zhiwei; Liu, Jingran - In: The journal of real estate finance and economics 42 (2011) 3, pp. 295-328

Persistent link: https://www.econbiz.de/10009303113

Risk-adjusted performance of real estate stocks : evidence from developing markets

Ooi, Joseph T. L.; Liow, Kim Hiang - In: The journal of real estate research 26 (2004) 4, pp. 371-395

Persistent link: https://www.econbiz.de/10002449974

Return and co-movement of major public real estate markets during global financial crisis : a frequency domain approach

Liow, Kim Hiang; Angela, Shao Yue - In: Journal of property investment & finance 35 (2017) 5, pp. 489-508

Persistent link: https://www.econbiz.de/10011781027

Industrial tail exposure risk and asset price : evidence from US REITs

Song, Jeongseop; Liow, Kim Hiang - In: Real estate economics 51 (2023) 5, pp. 1209-1245

Persistent link: https://www.econbiz.de/10014368743

Frequency volatility connectedness and market integration in international real estate investment trusts

Liow, Kim Hiang; Song, Jeong Seop - In: Finance research letters 45 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10014578129

GDP mimicking portfolios and the cross-section of stock returns

Kroencke, Tim-Alexander; Schindler, Felix; Sebastian, … - 2013

The components of GDP (residential investment, durables, nondurables, equipment and software, and business structures) display a pronounced lead-lag structure. We investigate the implications of this lead-lag structure for the cross-section of asset returns. We find that the leading GDP...

Persistent link: https://www.econbiz.de/10009745579