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Testing for Periodically Collapsing Rational Speculative Bubbles in US REITs

Anderson, Keith P. - 2010

This paper is the first to utilize a direct test for periodic, partially collapsing speculative bubbles in US REIT prices. A long history of data is employed for the All, Mortgage and Equity REIT categories. This approach is more powerful than existing tests and is based on the formulation of a...

Persistent link: https://www.econbiz.de/10013150782

Does orthogonalisation really purge equity-based property valuations of their general stock market influences?

Brooks, Chris - 1998

Persistent link: https://www.econbiz.de/10000985420

Linear and non-linear transmission of equity return volatility : evidence from the US, Japan and Australia

Brooks, Chris; Henry, Ólan T. - 1999

Persistent link: https://www.econbiz.de/10001364282

Special issue: the effects of environmental, social and governance disclosures and performance on firm value

Brooks, Chris (ed.); Oikonomou, Ioannis (ed.) - 2018

Persistent link: https://www.econbiz.de/10011843894

On the predictive content of leading indicators : the case of US real estate markets

Tsolacos, Sotiris; Brooks, Chris; Nneji, Ogonna - In: The journal of real estate research 36 (2014) 4, pp. 541-573

Persistent link: https://www.econbiz.de/10010482245

An alternative approach to investigating lead-lag relationships between stock and stock index futures markets

Brooks, Chris; Garrett, Ian; Hinich, Melvin J. - In: Applied financial economics 9 (1999) 6, pp. 605-613

Persistent link: https://www.econbiz.de/10001525291

The trading profitability of forecasts of the gilt-equity yield ratio

Brooks, Chris; Persand, Gita - In: International journal of forecasting 17 (2001) 1, pp. 11-29

Persistent link: https://www.econbiz.de/10001549772

A trading strategy based on the led-lag relationship between the spot index and futures contract for the FTSE 100

Brooks, Chris; Rew, Alistair G.; Ritson, Stuart - In: International journal of forecasting 17 (2001) 1, pp. 31-44

Persistent link: https://www.econbiz.de/10001549774

The gross truth about hedge fund performance and risk : the impact of incentive fees

Brooks, Chris; Clare, Andrew D.; Motson, Nick - In: Journal / The Capco Institute : journal of financial … 24 (2008), pp. 33-42

Persistent link: https://www.econbiz.de/10003825487

The S&P500 index effect reconsidered : evidence from overnight and intraday stock price performance and volume

Kappou, Konstantina; Brooks, Chris; Ward, Charles W. R. - In: Journal of banking & finance 34 (2010) 1, pp. 116-126

Persistent link: https://www.econbiz.de/10003905743

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