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The Consequences of REIT Index Membership for Return Patterns
Pavlov, Andrey D. - 2016
We study the impact of S&P index membership on REIT stock returns. Given the hybrid nature of REITs, their returns may become more like those of other indexed stocks and less like those of their underlying properties. The existing literature does not offer clear predictions on these potential...
Persistent link: https://www.econbiz.de/10012982980
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The market timing power of moving averages : evidence from US REITs and REIT indexes
Glabadanidis, Paskalis - In: International review of finance 14 (2014) 2, pp. 161-202
Persistent link: https://www.econbiz.de/10010519319
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A comparative anatomy of residential REITs and private real estate markets : returns, risks and distributional characteristics
Cotter, John; Roll, Richard - In: Real estate economics : journal of the American Real … 43 (2015) 1, pp. 209-240
Persistent link: https://www.econbiz.de/10010526349
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Returns and information transmission dynamics in public and private real estate markets
Ling, David C.; Naranjo, Andy - In: Real estate economics : journal of the American Real … 43 (2015) 1, pp. 163-208
Persistent link: https://www.econbiz.de/10010526350
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The sources of risk spillovers among US REITs : financial characteristics and regional proximity
Adams, Zeno; Füss, Roland; Schindler, Felix - In: Real estate economics : journal of the American Real … 43 (2015) 1, pp. 67-100
Persistent link: https://www.econbiz.de/10010526354
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Real estate investment trust return dynamics and value-at-risk under alternative classes of model specifications
Yu, Jung-suk - In: Journal of risk 15 (2012/13) 4, pp. 3-33
Persistent link: https://www.econbiz.de/10009771008
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Performance drivers of UK unlisted property funds
Farrelly, Kieran; Matysiak, George A. - 2012
Persistent link: https://www.econbiz.de/10009725335
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Asset pricing in European real estate capital markets
Schulte, Kai-Magnus - 2014 - 1. Aufl.
Persistent link: https://www.econbiz.de/10010380151
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Forecasting real estate prices
Ghysels, Eric; Plazzi, Alberto; Valkanov, Rossen I.; … - 2013
Persistent link: https://www.econbiz.de/10011507020
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Markov switching dynamics in REIT returns : univariate and multivariate evidence on forecasting performance
Case, Bradford; Guidolin, Massimo; Yildirim, Yildiray - In: Real estate economics : journal of the American Real … 42 (2014) 2, pp. 279-342
Persistent link: https://www.econbiz.de/10010401275