-
1
-
-
84971936191
-
Stock returns and volatility
-
Baillie, R. and DeGennaro, R. 1990, “Stock returns and volatility”, Journal of Financial and Quantitative Analysis, Vol. 25, pp. 203-14.
-
(1990)
Journal of Financial and Quantitative Analysis
, vol.25
, pp. 203-214
-
-
Baillie, R.1
DeGennaro, R.2
-
2
-
-
42449156579
-
Generalized autoregressive conditional heteroscedasticity
-
Bollerslev, T. 1986, “Generalized autoregressive conditional heteroscedasticity”, Journal of Econometrics, Vol. 31, pp. 307-27.
-
(1986)
Journal of Econometrics
, vol.31
, pp. 307-327
-
-
Bollerslev, T.1
-
3
-
-
34848900983
-
ARCH modeling in finance: a review of the theory and empirical evidence
-
Bollerslev, T., Chou, Y. and Kroner, F. 1992, “ARCH modeling in finance: a review of the theory and empirical evidence”, Journal of Econometrics, Vol. 52, pp. 5-59.
-
(1992)
Journal of Econometrics
, vol.52
, pp. 5-59
-
-
Bollerslev, T.1
Chou, Y.2
Kroner, F.3
-
4
-
-
0032771486
-
The impact of economic and financial factors on UK property performance
-
Brooks, C. and Tsolacos, S. 1999, “The impact of economic and financial factors on UK property performance”, Journal of Property Research, Vol. 16 No. 2, pp. 139-52.
-
(1999)
Journal of Property Research
, vol.16
, Issue.2
, pp. 139-152
-
-
Brooks, C.1
Tsolacos, S.2
-
5
-
-
0344839169
-
Stock returns and the term structure
-
Campbell, J.Y. 1987, “Stock returns and the term structure”, Journal of Financial Economics, Vol. 18, pp. 373-99.
-
(1987)
Journal of Financial Economics
, vol.18
, pp. 373-399
-
-
Campbell, J.Y.1
-
6
-
-
84986456131
-
A re-examination of interest rate sensitivity in the common stocks of financial institutions
-
Chance, D. and Lane, D. 1980, “A re-examination of interest rate sensitivity in the common stocks of financial institutions”, Journal of Financial Research, Vol. 3 No. 1, pp. 49-56.
-
(1980)
Journal of Financial Research
, vol.3
, Issue.1
, pp. 49-56
-
-
Chance, D.1
Lane, D.2
-
7
-
-
0035560841
-
Price discovery in the Hong Kong real estate market
-
Chau, K.W., MacGregor, B. and Schwann, G. 2001, “Price discovery in the Hong Kong real estate market”, Journal of Property Research, Vol. 18 No. 3, pp. 187-216.
-
(2001)
Journal of Property Research
, vol.18
, Issue.3
, pp. 187-216
-
-
Chau, K.W.1
MacGregor, B.2
Schwann, G.3
-
8
-
-
0030527061
-
Stock market volatility and the crash of 1987: evidence from six emerging markets
-
Choudhry, T. 1996, “Stock market volatility and the crash of 1987: evidence from six emerging markets”, Journal of International Money and Finance, Vol. 15 No. 6, pp. 969-81.
-
(1996)
Journal of International Money and Finance
, vol.15
, Issue.6
, pp. 969-981
-
-
Choudhry, T.1
-
9
-
-
0038490379
-
Diversification benefits from foreign real estate investments
-
Conover, M., Friday, S. and Sirmans, S. 2002, “Diversification benefits from foreign real estate investments”, Journal of Real Estate Portfolio Management, Vol. 8 No. 1, pp. 17-26.
-
(2002)
Journal of Real Estate Portfolio Management
, vol.8
, Issue.1
, pp. 17-26
-
-
Conover, M.1
Friday, S.2
Sirmans, S.3
-
10
-
-
0042320783
-
Time varying risk premia for real estate investment trusts: a GARCH-M model
-
Devaney, M. 2001, “Time varying risk premia for real estate investment trusts: a GARCH-M model”, The Quarterly Review of Economics and Finance, Vol. 41, pp. 335-46.
-
(2001)
The Quarterly Review of Economics and Finance
, vol.41
, pp. 335-346
-
-
Devaney, M.1
-
11
-
-
0141759890
-
The cross section of global property share returns
-
Kluwer Academic Publishers
-
Eichholtz, P. and Huisman, R. 2001, “The cross section of global property share returns”, in Ed. Brown, S. and Ed. Liu, C. Eds, A Global Perspective of Real Estate Cycles, Kluwer Academic Publishers, Dordrecht.
-
(2001)
A Global Perspective of Real Estate Cycles
-
-
Eichholtz, P.1
Huisman, R.2
-
12
-
-
0000403740
-
Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: a GARCH-M model
-
Elyasiani, E. and Mansur, I. 1998, “Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: a GARCH-M model”, Journal of Banking and Finance, Vol. 22, pp. 535-63.
-
(1998)
Journal of Banking and Finance
, vol.22
, pp. 535-563
-
-
Elyasiani, E.1
Mansur, I.2
-
13
-
-
0000051984
-
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
-
Engle, R.F. 1982, “Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation”, Econometrica, Vol. 50, pp. 987-1007.
-
(1982)
Econometrica
, vol.50
, pp. 987-1007
-
-
Engle, R.F.1
-
14
-
-
0001264648
-
Estimating time varying risk premia in the term structure: the ARCH-M model
-
Engle, R.F., Lilien, D.M. and Robins, R.P. 1987, “Estimating time varying risk premia in the term structure: the ARCH-M model”, Econometrica, Vol. 55, pp. 391-407.
-
(1987)
Econometrica
, vol.55
, pp. 391-407
-
-
Engle, R.F.1
Lilien, D.M.2
Robins, R.P.3
-
15
-
-
20444481061
-
Asset returns and inflation
-
Fama, E. and Schwart, G. 1977, “Asset returns and inflation”, Journal of Financial Economics, Vol. 5, pp. 115-46.
-
(1977)
Journal of Financial Economics
, vol.5
, pp. 115-146
-
-
Fama, E.1
Schwart, G.2
-
16
-
-
0000134175
-
Effect of interest rate on the common stock returns of financial institution
-
Flannery, M. and James, C. 1984, “Effect of interest rate on the common stock returns of financial institution”, Journal of Finance, Vol. 39 No. 4, pp. 1141-54.
-
(1984)
Journal of Finance
, vol.39
, Issue.4
, pp. 1141-1154
-
-
Flannery, M.1
James, C.2
-
17
-
-
0031091915
-
Asset pricing, time-varying risk premia and interest rate risk
-
Flannery, M., Hameed, A. and Harjes, R. 1997, “Asset pricing, time-varying risk premia and interest rate risk”, Journal of Banking and Finance, Vol. 21, pp. 315-35.
-
(1997)
Journal of Banking and Finance
, vol.21
, pp. 315-335
-
-
Flannery, M.1
Hameed, A.2
Harjes, R.3
-
18
-
-
19744364880
-
The linkages between real estate securities in the Asia-Pacific
-
Garvey, R., Santry, G. and Stevenson, S. 2001, “The linkages between real estate securities in the Asia-Pacific”, Pacific Rim Property Research Journal, Vol. 7 No. 4, pp. 240-58.
-
(2001)
Pacific Rim Property Research Journal
, vol.7
, Issue.4
, pp. 240-258
-
-
Garvey, R.1
Santry, G.2
Stevenson, S.3
-
19
-
-
0034379580
-
Further evidence on the interaction of REIT, bond and stock markets
-
Glascock, J., Liu, C. and So, R. 2000, “Further evidence on the interaction of REIT, bond and stock markets”, Journal of Real Estate Finance and Economics, Vol. 20 No. 2, pp. 177-94.
-
(2000)
Journal of Real Estate Finance and Economics
, vol.20
, Issue.2
, pp. 177-194
-
-
Glascock, J.1
Liu, C.2
So, R.3
-
20
-
-
0036016198
-
Regime shifts in Asian equity and real estate markets
-
Kallburg, J.G., Liu, C.H. and Pasquariello, P. 2002, “Regime shifts in Asian equity and real estate markets”, Real Estate Economics, Vol. 30 No. 2, pp. 263-92.
-
(2002)
Real Estate Economics
, vol.30
, Issue.2
, pp. 263-292
-
-
Kallburg, J.G.1
Liu, C.H.2
Pasquariello, P.3
-
21
-
-
51249173439
-
Changes in market assessment of deposit institution riskiness
-
Kane, E.J. and Unal, H. 1988, “Changes in market assessment of deposit institution riskiness”, Journal of Financial Services Research, Vol. 2, pp. 201-9.
-
(1988)
Journal of Financial Services Research
, vol.2
, pp. 201-209
-
-
Kane, E.J.1
Unal, H.2
-
22
-
-
0032329268
-
The variation of economic risk premiums in real estate returns
-
Karolyi, G.A. and Sanders, A.B. 1998, “The variation of economic risk premiums in real estate returns”, Journal of Real Estate Finance and Economics, Vol. 17 No. 3, pp. 245-62.
-
(1998)
Journal of Real Estate Finance and Economics
, vol.17
, Issue.3
, pp. 245-262
-
-
Karolyi, G.A.1
Sanders, A.B.2
-
23
-
-
0002906870
-
Asymmetric price and volatility adjustments in emerging Asian stock markets
-
Koutmos, G. 1999, “Asymmetric price and volatility adjustments in emerging Asian stock markets”, Journal of Business Finance and Accounting, Vol. 26 No. 1 &2, pp. 83-101.
-
(1999)
Journal of Business Finance and Accounting
, vol.26
, pp. 83-101
-
-
Koutmos, G.1
-
24
-
-
84996163253
-
Stock returns and volatility on China's stock markets
-
Lee, C., Chen, G. and Rui, O. 2001, “Stock returns and volatility on China's stock markets”, The Journal of Financial Research, Vol. 26 No. 4, pp. 523-43.
-
(2001)
The Journal of Financial Research
, vol.26
, Issue.4
, pp. 523-543
-
-
Lee, C.1
Chen, G.2
Rui, O.3
-
25
-
-
0000580022
-
The predictability of REIT returns and market segmentation
-
Li, Y. and Wang, K. 1995, “The predictability of REIT returns and market segmentation”, Journal of Real Estate Research, Vol. 10 No. 4, pp. 471-82.
-
(1995)
Journal of Real Estate Research
, vol.10
, Issue.4
, pp. 471-482
-
-
Li, Y.1
Wang, K.2
-
26
-
-
0141871438
-
Pricing of interest rate risk for mortgage REITs
-
Liang, Y. and Webb, J. 1995, “Pricing of interest rate risk for mortgage REITs”, Journal of Real Estate Research, Vol. 10 No. 4, pp. 461-9.
-
(1995)
Journal of Real Estate Research
, vol.10
, Issue.4
, pp. 461-469
-
-
Liang, Y.1
Webb, J.2
-
27
-
-
0031501561
-
Economic risk factors and commercial real estate returns
-
Ling, D.C. and Naranjo, A. 1997, “Economic risk factors and commercial real estate returns”, Journal of Real Estate Finance and Economics, Vol. 14, pp. 283-301.
-
(1997)
Journal of Real Estate Finance and Economics
, vol.14
, pp. 283-301
-
-
Ling, D.C.1
Naranjo, A.2
-
28
-
-
84986038274
-
The long-term investment performance of Singapore real estate and property stocks
-
Liow, K.H. 2001a, “The long-term investment performance of Singapore real estate and property stocks”, Journal of Property Investment & Finance, Vol. 19 No. 2, pp. 156-74.
-
(2001)
Journal of Property Investment & Finance
, vol.19
, Issue.2
, pp. 156-174
-
-
Liow, K.H.1
-
29
-
-
33646857589
-
The abnormal return performance of Singapore property companies
-
Liow, K.H. 2001b, “The abnormal return performance of Singapore property companies”, Pacific Rim Property Research Journal, Vol. 7 No. 2, pp. 104-12.
-
(2001)
Pacific Rim Property Research Journal
, vol.7
, Issue.2
, pp. 104-112
-
-
Liow, K.H.1
-
30
-
-
0141671714
-
Interest rate sensitivity and risk premium of property stocks
-
Liow, K.H., Ooi, J.T.L. and Wang, L.K. 2003, “Interest rate sensitivity and risk premium of property stocks”, Journal of Property Research, Vol. 20 No. 2, pp. 117-32.
-
(2003)
Journal of Property Research
, vol.20
, Issue.2
, pp. 117-132
-
-
Liow, K.H.1
Ooi, J.T.L.2
Wang, L.K.3
-
31
-
-
0000414772
-
The predictability of returns on equity REITs and their co-movement with other assets
-
Liu, C. and Mei, J. 1992, “The predictability of returns on equity REITs and their co-movement with other assets”, Journal of Real Estate Finance and Economics, Vol. 5, pp. 401-18.
-
(1992)
Journal of Real Estate Finance and Economics
, vol.5
, pp. 401-418
-
-
Liu, C.1
Mei, J.2
-
32
-
-
0039995065
-
The predictability of international real estate markets: exchange rate risk and diversification opportunities
-
Liu, C. and Mei, J. 1998, “The predictability of international real estate markets: exchange rate risk and diversification opportunities”, Real Estate Economics, Vol. 26, pp. 3-39.
-
(1998)
Real Estate Economics
, vol.26
, pp. 3-39
-
-
Liu, C.1
Mei, J.2
-
33
-
-
0005658187
-
Property company performance and real interest rates: a regime-switching approach
-
Lizieri, C. and Satchell, S. 1997, “Property company performance and real interest rates: a regime-switching approach”, Journal of Property Research, Vol. 14, pp. 85-97.
-
(1997)
Journal of Property Research
, vol.14
, pp. 85-97
-
-
Lizieri, C.1
Satchell, S.2
-
34
-
-
0006143682
-
Real estate returns and the macroeconomy: some empirical evidence from real estate investment trust data, 1972-1991
-
McCue, T.E. and Kling, J.L. 1994, “Real estate returns and the macroeconomy: some empirical evidence from real estate investment trust data, 1972-1991”, The Journal of Real Estate Research, Vol. 9 No. 3, pp. 277-87.
-
(1994)
The Journal of Real Estate Research
, vol.9
, Issue.3
, pp. 277-287
-
-
McCue, T.E.1
Kling, J.L.2
-
35
-
-
33646884041
-
Sensitivity of bank equity returns to the level and volatility of interest rates
-
Mansur, I. 1995, “Sensitivity of bank equity returns to the level and volatility of interest rates”, Managerial Finance, Vol. 27 No. 7, pp. 57-77.
-
(1995)
Managerial Finance
, vol.27
, Issue.7
, pp. 57-77
-
-
Mansur, I.1
-
36
-
-
0034553592
-
Conditional risk premiums of Asian real estate stocks
-
Mei, J. and Hu, J. 2000, “Conditional risk premiums of Asian real estate stocks”, Journal of Real Estate Finance and Economics, Vol. 21 No. 3, pp. 297-313.
-
(2000)
Journal of Real Estate Finance and Economics
, vol.21
, Issue.3
, pp. 297-313
-
-
Mei, J.1
Hu, J.2
-
37
-
-
0001451378
-
On estimating the expected return on the market: an exploratory investigation
-
Merton, R. 1980, “On estimating the expected return on the market: an exploratory investigation”, Journal of Financial Economics, Vol. 8, pp. 326-61.
-
(1980)
Journal of Financial Economics
, vol.8
, pp. 326-361
-
-
Merton, R.1
-
38
-
-
0042855450
-
The effect of interest rate movements on real estate investment trusts
-
Mueller, G. and Pauley, K. 1995, “The effect of interest rate movements on real estate investment trusts”, The Journal of Real Estate Research, Vol. 10 No. 3, pp. 319-26.
-
(1995)
The Journal of Real Estate Research
, vol.10
, Issue.3
, pp. 319-326
-
-
Mueller, G.1
Pauley, K.2
-
39
-
-
0039199806
-
Interest rate risk at US commercial banks
-
Neuberger, J.A. 1994, “Interest rate risk at US commercial banks”, working paper, Federal Reserve Bank of San Francisco, San Francisco, CA.
-
(1994)
working paper, Federal Reserve Bank of San Francisco, San Francisco, CA.
-
-
Neuberger, J.A.1
-
40
-
-
33646880757
-
The dynamics of the Australian property trust market risk and correlation profile
-
Newell, G. and Acheampong, P. 2001, “The dynamics of the Australian property trust market risk and correlation profile”, Pacific Rim Property Research Journal, Vol. 7 No. 4, pp. 259-70.
-
(2001)
Pacific Rim Property Research Journal
, vol.7
, Issue.4
, pp. 259-270
-
-
Newell, G.1
Acheampong, P.2
-
41
-
-
0006026167
-
Linkages between direct and indirect property performance in Hong Kong
-
Newell, G. and Chau, K.W. 1996, “Linkages between direct and indirect property performance in Hong Kong”, Journal of Property Finance, Vol. 7 No. 4, pp. 9-29.
-
(1996)
Journal of Property Finance
, vol.7
, Issue.4
, pp. 9-29
-
-
Newell, G.1
Chau, K.W.2
-
43
-
-
44049121505
-
Stock returns and volatility: an empirical study of the UK stock market
-
Poon, S. and Taylor, S. 1992, “Stock returns and volatility: an empirical study of the UK stock market”, Journal of Banking and Finance, Vol. 16, pp. 37-59.
-
(1992)
Journal of Banking and Finance
, vol.16
, pp. 37-59
-
-
Poon, S.1
Taylor, S.2
-
44
-
-
38249019746
-
Are banks special? The separation of banking from commerce and interest rate risk
-
Saunders, A. and Yourougou, P. 1990, “Are banks special? The separation of banking from commerce and interest rate risk”, Journal of Economics and Business, pp. 171-82.
-
(1990)
Journal of Economics and Business
, pp. 171-182
-
-
Saunders, A.1
Yourougou, P.2
-
45
-
-
0038167087
-
News effects and structural shifts in price discovery in Hong Kong
-
Schwann, G. and Chau, K.W. 2003, “News effects and structural shifts in price discovery in Hong Kong”, Journal of Real Estate Finance and Economics, Vol. 27 No. 2, pp. 257-71.
-
(2003)
Journal of Real Estate Finance and Economics
, vol.27
, Issue.2
, pp. 257-271
-
-
Schwann, G.1
Chau, K.W.2
-
46
-
-
0345952693
-
Global real estate investment: characteristics, portfolio allocation and future trends
-
Steinert, M. and Crowe, S. 2001, “Global real estate investment: characteristics, portfolio allocation and future trends”, Pacific Rim Property Research Journal, Vol. 7 No. 4, pp. 223-39.
-
(2001)
Pacific Rim Property Research Journal
, vol.7
, Issue.4
, pp. 223-239
-
-
Steinert, M.1
Crowe, S.2
-
47
-
-
13244254469
-
An examination of volatility spillovers in REIT returns
-
Stevenson, S. 2002, “An examination of volatility spillovers in REIT returns”, Journal of Real Estate Portfolio Management, Vol. 8 No. 2, pp. 229-38.
-
(2002)
Journal of Real Estate Portfolio Management
, vol.8
, Issue.2
, pp. 229-238
-
-
Stevenson, S.1
-
48
-
-
0036245877
-
REIT risk premium sensitivity and interest rates
-
Swanson, Z., Theis, J. and Casey, K.M. 2002, “REIT risk premium sensitivity and interest rates”, Journal of Real Estate Finance and Economics, Vol. 24 No. 3, pp. 319-30.
-
(2002)
Journal of Real Estate Finance and Economics
, vol.24
, Issue.3
, pp. 319-330
-
-
Swanson, Z.1
Theis, J.2
Casey, K.M.3
-
49
-
-
85015652382
-
Relationship between volatility and expected returns across international stock markets
-
Theodossiou, P. and Lee, U. 1995, “Relationship between volatility and expected returns across international stock markets”, Journal of Business Finance and Accounting, Vol. 22 No. 2, pp. 289-300.
-
(1995)
Journal of Business Finance and Accounting
, vol.22
, Issue.2
, pp. 289-300
-
-
Theodossiou, P.1
Lee, U.2
-
51
-
-
0038137154
-
Investing in international real estate stocks: a review of the literature
-
Worzala, E. and Sirmans, C.F. 2003, “Investing in international real estate stocks: a review of the literature”, Urban Studies, Vol. 40 Nos 5-6, pp. 1115-49.
-
(2003)
Urban Studies
, vol.40
, Issue.5-6
, pp. 1115-1149
-
-
Worzala, E.1
Sirmans, C.F.2
-
52
-
-
27544502374
-
Systematic behavior in real estate investment risk: performance persistence in NCREIF returns
-
Young, M. and Graff, R. 1996, “Systematic behavior in real estate investment risk: performance persistence in NCREIF returns”, Journal of Real Estate Research, Vol. 12, pp. 369-82.
-
(1996)
Journal of Real Estate Research
, vol.12
, pp. 369-382
-
-
Young, M.1
Graff, R.2
|