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Equally weighted vs. long-run optimal portfolios
Fugazza, Carolina; Guidolin, Massimo; Nicodano, Giovanna - In: European financial management : the journal of the … 21 (2015) 4, pp. 742-789
Persistent link: https://www.econbiz.de/10011408525
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An investigation into the substitutability of equity and mortgage REITs in real estate portfolios
Hansz, J. Andrew; Zhang, Ying; Zhou, Tingyu - In: The journal of real estate finance and economics 54 (2017) 3, pp. 338-364
Persistent link: https://www.econbiz.de/10011797622
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Fama-French-Carhart Factor-Based Premiums in the US REIT market : a risk based explanation, and the impact of financial distress and liquidity crisis from 2001 to 2020
Essa, Mohammad Sharik; Giouvris, Evangelos - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-39
The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size, value, profitability, investment and momentum premiums within the US Real Estate Investment Trust market. Using daily data from 2001 to 2020, we examine the presence, magnitude and...
Persistent link: https://www.econbiz.de/10013545890
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Reducing the dispersion of returns in UK real estate portfolios
Brown, Gerald R. - 1987
Persistent link: https://www.econbiz.de/10000339934
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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
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Equity and fixed income markets as drivers of securitised real estate
Cheong, Chee Seng; Gerlach, Richard; Stevenson, Simon; … - In: Review of financial economics : RFE 18 (2009) 2, pp. 103-111
Persistent link: https://www.econbiz.de/10003901003
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Extrapolation theory and the pricing of REIT stocks
Ooi, Joseph T. L.; Webb, James R.; Zhou, Dingding - In: The journal of real estate research 29 (2007) 1, pp. 27-55
Persistent link: https://www.econbiz.de/10003437092
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On the portfolio properties of real estate in good times and bad times
Sa-Aadu, Jarjisu; Shilling, James D.; Tiwari, Ashish - In: Real estate economics : journal of the American Real … 38 (2010) 3, pp. 529-565
Persistent link: https://www.econbiz.de/10008649889
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Style analysis in real estate markets : beyond the sector and region dichotomy
Fuerst, Franz; Marcato, Gianluca - In: The journal of portfolio management : a publication of … 36 (2009/10) 5, pp. 104-117
Persistent link: https://www.econbiz.de/10008654013
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Are REITs real estate? : evidence from international sector level data
Hoesli, Martin; Oikarinen, Elias - 2012
The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market...
Persistent link: https://www.econbiz.de/10009558452