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An international analysis of time varying beta risk in listed real estate securities
Morri, Giacomo; Romito, Federico - In: Journal of property investment & finance 35 (2017) 2, pp. 116-134
Persistent link: https://www.econbiz.de/10011661938
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Macroeconomic uncertainty and predictability of real estate returns : the impact of asset liquidity
Nayar, Nandkumar; Price, S. McKay; Shen, Ke - In: Journal of real estate research : JRER ; a publication … 46 (2024) 1, pp. 82-113
Persistent link: https://www.econbiz.de/10014582191
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Real Estate Risk in Equity Returns : Empirical Evidence from U.S. Stock Markets
Michel, Gaston (contributor) - 2009
Gaston Michel investigates whether shocks to real estate markets constitute an important source of the risk that is … priced in the cross section of equity returns. His results document that real estate risk explains a large part of the cross … pricing story: higher asset returns must be associated with lower prices and higher risk exposure. In particular, he …
Persistent link: https://www.econbiz.de/10013521240
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Real estate risk in equity returns : empirical evidence from U.S. stock markets
Michel, Gaston - 2009 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003829197
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Do Securitized Real Estate Markets Jump? International Evidence
Li, Jie - 2014
We apply a jump GARCH model to daily returns of the ten largest international securitized real estate markets and investigate the sources of large price changes. We document, for the first time, evidence for jump dynamics across major international securitized real estate markets. Large price...
Persistent link: https://www.econbiz.de/10013044490
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Is There Really Any Contagion Among Major Equity and Securitized Real Estate Markets?
Hui, Eddie - 2018
This study examines contagion across general equity and securitized real estate markets of China, Hong Kong and the US during Chinese financial crisis. This is the first study to combine the case-resampling bootstrap method with the coskewness and cokurtosis test. Thus the new method works well...
Persistent link: https://www.econbiz.de/10012920153
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Liquidity in global real estate securities markets : a cyclical and regional analysis pre, during and post GFC
Lux, Nicole; Moss, Alex - In: Journal of property investment & finance 34 (2016) 4, pp. 321-346
Persistent link: https://www.econbiz.de/10011595033
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Is there really any contagion among major equity and securitized real estate markets? : analysis from a new perspective
Hui, Eddie Chi Man; Chan, Ka Kwan Kevin - In: The journal of real estate finance and economics 56 (2018) 4, pp. 567-586
Persistent link: https://www.econbiz.de/10012038823
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The rate of return on real estate : long-run micro-level evidence
Chambers, David; Spaenjers, Christophe; Steiner, Eva - 2019
Real estate—housing in particular—is a less profitable investment in the long run than previously thought. We hand-collect property-level financial data for the institutional real estate portfolios of four large Oxbridge colleges over the period 1901–1983. Gross income yields initially...
Persistent link: https://www.econbiz.de/10012259620