메뉴 건너뛰기




Volumn 31, Issue 3, 2003, Pages 451-479

The Cross Section of Expected REIT Returns

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0042379777     PISSN: 10808620     EISSN: None     Source Type: Journal    
DOI: 10.1111/1540-6229.00073     Document Type: Article
Times cited : (74)

References (33)
  • 1
    • 85040391949 scopus 로고    scopus 로고
    • Market Structure and Reported Trading Volume: NASDAQ versus the NYSE
    • Atkins, Allen B. and Edward A. Dyl. 1997. Market Structure and Reported Trading Volume: NASDAQ versus the NYSE. Journal of Financial Research 20: 291-304.
    • Journal of Financial Research , vol.20 , pp. 291-304
    • Atkins, A.B.1    Dyl, E.A.2
  • 3
    • 84993865825 scopus 로고
    • Market Statistics and Technical Analysis: The Role of Volume
    • Blume, L., D. Easley and M. O'Hara. 1994. Market Statistics and Technical Analysis: The Role of Volume. Journal of Finance 49: 153-181.
    • (1994) Journal of Finance , vol.49 , pp. 153-181
    • Blume, L.1    Easley, D.2    O'Hara, M.3
  • 4
    • 0000069353 scopus 로고    scopus 로고
    • Alternative Factor Specifications, Security Characteristics, and the Cross-Section of Expected Stock Returns
    • Brennan, M.J., T. Chordia and A. Subrahmanyam. 1998. Alternative Factor Specifications, Security Characteristics, and the Cross-Section of Expected Stock Returns. Journal of Financial Economics 49: 345-373.
    • (1998) Journal of Financial Economics , vol.49 , pp. 345-373
    • Brennan, M.J.1    Chordia, T.2    Subrahmanyam, A.3
  • 5
    • 0039938664 scopus 로고    scopus 로고
    • Focus, Transparency and Value: The REIT Evidence
    • Capozza, D.R. and P.J. Seguin. 1999. Focus, Transparency and Value: The REIT Evidence. Real Estate Economics 27: 587-619.
    • (1999) Real Estate Economics , vol.27 , pp. 587-619
    • Capozza, D.R.1    Seguin, P.J.2
  • 6
    • 0001074664 scopus 로고    scopus 로고
    • Institutional Investment in REITs: Evidence and Implications
    • Chan, S.H. W.K. Leung and K. Wang. 1998. Institutional Investment in REITs: Evidence and Implications. Journal of Real Estate Research 16: 357-374.
    • (1998) Journal of Real Estate Research , vol.16 , pp. 357-374
    • Chan, S.H.1    Leung, W.K.2    Wang, K.3
  • 7
    • 0042711847 scopus 로고    scopus 로고
    • Transparency and Firm Value: The Effect of Asset Focus and Debt Rating
    • University of Minnesota: Minneapolis, MN
    • Chase, C. and P.J. Seguin. 2003. Transparency and Firm Value: The Effect of Asset Focus and Debt Rating. Working paper. University of Minnesota: Minneapolis, MN.
    • (2003) Working Paper
    • Chase, C.1    Seguin, P.J.2
  • 9
    • 0030362919 scopus 로고    scopus 로고
    • The Impact of Security Analysts' Monitoring and Market Functions on the Market Value of Firms
    • Chung, K.H. and H. Jo. 1996. The Impact of Security Analysts' Monitoring and Market Functions on the Market Value of Firms. Journal of Financial Quantitative Analysis 31: 493-512.
    • (1996) Journal of Financial Quantitative Analysis , vol.31 , pp. 493-512
    • Chung, K.H.1    Jo, H.2
  • 10
    • 8744258405 scopus 로고    scopus 로고
    • Investor Psychology and Security Market Under- and Overreactions
    • Daniel, K.D., D. Hirshleifer and A. Subrahmanyam. 1998. Investor Psychology and Security Market Under- and Overreactions. Journal of Finance 53: 1839-1885.
    • (1998) Journal of Finance , vol.53 , pp. 1839-1885
    • Daniel, K.D.1    Hirshleifer, D.2    Subrahmanyam, A.3
  • 11
    • 0002014264 scopus 로고    scopus 로고
    • Evidence on the Characteristics of Cross-Sectional Variation in Common Stock Returns
    • Daniel, K.D. and S. Titman. 1997. Evidence on the Characteristics of Cross-Sectional Variation in Common Stock Returns. Journal of Finance 52: 1681-1714.
    • (1997) Journal of Finance , vol.52 , pp. 1681-1714
    • Daniel, K.D.1    Titman, S.2
  • 12
    • 0001798665 scopus 로고    scopus 로고
    • Market Efficiency in an Irrational World
    • November/December
    • _. 1999. Market Efficiency in an Irrational World. Financial Analysts Journal November/December: 28-40.
    • (1999) Financial Analysts Journal , pp. 28-40
  • 13
    • 0007982727 scopus 로고    scopus 로고
    • Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?
    • Daniel, K.D., S. Titman and K.C.J. Wei. 2001. Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics? Journal of Finance 56: 743-766.
    • (2001) Journal of Finance , vol.56 , pp. 743-766
    • Daniel, K.D.1    Titman, S.2    Wei, K.C.J.3
  • 15
    • 0039030368 scopus 로고    scopus 로고
    • Characteristics, Covariances, and Average Returns: 1929-1997
    • Davis, J., E.F. Fama and K.R. French. 2000. Characteristics, Covariances, and Average Returns: 1929-1997. Journal of Finance 55: 389-406.
    • (2000) Journal of Finance , vol.55 , pp. 389-406
    • Davis, J.1    Fama, E.F.2    French, K.R.3
  • 16
    • 84977737676 scopus 로고
    • The Cross-Section of Expected Stock Returns
    • Fama, E.F. and K.R. French. 1992. The Cross-Section of Expected Stock Returns. Journal of Finance 47: 427-465.
    • (1992) Journal of Finance , vol.47 , pp. 427-465
    • Fama, E.F.1    French, K.R.2
  • 17
    • 38549147867 scopus 로고
    • Common Risk Factors in the Returns on Stocks and Bonds
    • _. 1993. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics 33: 3-56.
    • (1993) Journal of Financial Economics , vol.33 , pp. 3-56
  • 18
    • 0000928969 scopus 로고
    • Risk, Return and Equilibrium: Empirical Tests
    • Fama, E.F. and J. MacBeth. 1973. Risk, Return and Equilibrium: Empirical Tests. Journal of Political Economy 81: 607-636.
    • (1973) Journal of Political Economy , vol.81 , pp. 607-636
    • Fama, E.F.1    MacBeth, J.2
  • 19
    • 0142188063 scopus 로고    scopus 로고
    • Dividend Taxes and Share Prices: Evidence from Real Estate Investment Trusts
    • Gentry, W.M., D. Kemsley and C.J. Mayer. 2003. Dividend Taxes and Share Prices: Evidence from Real Estate Investment Trusts. Journal of Finance 58: 261-282.
    • (2003) Journal of Finance , vol.58 , pp. 261-282
    • Gentry, W.M.1    Kemsley, D.2    Mayer, C.J.3
  • 20
    • 0000398111 scopus 로고    scopus 로고
    • Investor Psychology and Asset Pricing
    • Hirshleifer, D. 2001. Investor Psychology and Asset Pricing. Journal of Finance 56: 1533-1597.
    • (2001) Journal of Finance , vol.56 , pp. 1533-1597
    • Hirshleifer, D.1
  • 21
    • 0039372663 scopus 로고    scopus 로고
    • Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies
    • Hong, H., T. Lim and J.C. Stein. 2000. Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies. Journal of Finance 55: 265-295.
    • (2000) Journal of Finance , vol.55 , pp. 265-295
    • Hong, H.1    Lim, T.2    Stein, J.C.3
  • 22
    • 0012166025 scopus 로고    scopus 로고
    • A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets
    • Hong, H. and J.C. Stein. 1999. A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets. Journal of Finance 54: 2143-2184.
    • (1999) Journal of Finance , vol.54 , pp. 2143-2184
    • Hong, H.1    Stein, J.C.2
  • 23
    • 84993907227 scopus 로고
    • Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
    • Jegadeesh, N. and S. Titman. 1993. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance 48: 65-91.
    • (1993) Journal of Finance , vol.48 , pp. 65-91
    • Jegadeesh, N.1    Titman, S.2
  • 24
    • 0041075295 scopus 로고    scopus 로고
    • Profitability of Momentum Strategies: An Evaluation of Alternative Explanations
    • _. 2001. Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. Journal of Finance 56: 699-720.
    • (2001) Journal of Finance , vol.56 , pp. 699-720
  • 25
    • 0010734388 scopus 로고    scopus 로고
    • Price Momentum and Trading Volume
    • Lee, C.M.C. and B. Swaminathan. 2000. Price Momentum and Trading Volume. Journal of Finance 55: 2017-2069.
    • (2000) Journal of Finance , vol.55 , pp. 2017-2069
    • Lee, C.M.C.1    Swaminathan, B.2
  • 26
    • 0031101160 scopus 로고    scopus 로고
    • Valuation Uncertainty, Institutional Involvement, and the Underpricing of IPOs: The Case of REITs
    • Ling, D.C. and M. Ryngaert. 1997. Valuation Uncertainty, Institutional Involvement, and the Underpricing of IPOs: The Case of REITs. Journal of Financial Economics 43: 433-456.
    • (1997) Journal of Financial Economics , vol.43 , pp. 433-456
    • Ling, D.C.1    Ryngaert, M.2
  • 27
    • 0000414772 scopus 로고
    • The Predictability of Returns on Equity REITs and their Co-movement with Other Assets
    • Liu, C. and J. Mei. 1992. The Predictability of Returns on Equity REITs and their Co-movement with Other Assets. Journal of Real Estate Finance and Economics 5: 401-418.
    • (1992) Journal of Real Estate Finance and Economics , vol.5 , pp. 401-418
    • Liu, C.1    Mei, J.2
  • 28
    • 0042210804 scopus 로고
    • Price Reversal, Transaction Costs, and Arbitrage Profits in Real Estate Market
    • Mei, J. and B. Gao. 1995. Price Reversal, Transaction Costs, and Arbitrage Profits in Real Estate Market. Journal of Real Estate Finance and Economics 11: 153-165.
    • (1995) Journal of Real Estate Finance and Economics , vol.11 , pp. 153-165
    • Mei, J.1    Gao, B.2
  • 30
    • 0001601867 scopus 로고
    • The Predictability of Real Estate Returns and Market Timing
    • Mei, J. and C. Liu. 1994. The Predictability of Real Estate Returns and Market Timing. Journal of Real Estate Finance and Economics 8: 115-135.
    • (1994) Journal of Real Estate Finance and Economics , vol.8 , pp. 115-135
    • Mei, J.1    Liu, C.2
  • 31
    • 0000706085 scopus 로고
    • A Simple, Positive Semi-Definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix
    • Newey, W.K. and K.D. West. 1987. A Simple, Positive Semi-Definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica 55: 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 32
    • 0000379411 scopus 로고    scopus 로고
    • Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?
    • Peterson, J.D. and C.-H. Hsieh. 1997. Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs? Real Estate Economics 25: 321-346.
    • (1997) Real Estate Economics , vol.25 , pp. 321-346
    • Peterson, J.D.1    Hsieh, C.-H.2
  • 33
    • 38249025506 scopus 로고
    • Drawing Inferences from Statistics Based on Multiyear Asset Returns
    • Richardson, M. and J.H. Stock. 1989. Drawing Inferences from Statistics Based on Multiyear Asset Returns. Journal of Financial Economics 25: 323-348.
    • (1989) Journal of Financial Economics , vol.25 , pp. 323-348
    • Richardson, M.1    Stock, J.H.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.