-
1
-
-
0001461997
-
Bubbles in metropolitan housing markets Research
-
Abraham, J. M. and Hendershott, P. H. (1996) Bubbles in metropolitan housing markets Journal of Housing Research, 7(2), pp. 191-207.
-
(1996)
Journal of Housing
, vol.7
, Issue.2
, pp. 191-207
-
-
Abraham, J.M.1
Hendershott, P.H.2
-
2
-
-
84977379610
-
Price discovery in American and British property markets
-
Barkham, R. and Geltner, D. (1995) Price discovery in American and British property markets Real Estate Economics, 23(1), pp. 21-44.
-
(1995)
Real Estate Economics
, vol.23
, Issue.1
, pp. 21-44
-
-
Barkham, R.1
Geltner, D.2
-
3
-
-
33745576726
-
Intermarket efficiency: An application of interbattery APT to mortgage-backed securities
-
Bubnys, E. L. and Khaksari, S. and Tarimcilar, M. (1993) Intermarket efficiency: An application of interbattery APT to mortgage-backed securities Journal of Real Estate Finance and Economics, 7(2), pp. 99-115.
-
(1993)
Journal of Real Estate Finance and Economics
, vol.7
, Issue.2
, pp. 99-115
-
-
Bubnys, E.L.1
Khaksari, S.2
Tarimcilar, M.3
-
4
-
-
84977709173
-
Predictable stock returns in the United States and Japan: A study of long-term capital market integration
-
Campbell, J. Y. and Hamao, Y. (1992) Predictable stock returns in the United States and Japan: A study of long-term capital market integration Journal of Finance, 47(1), pp. 43-69.
-
(1992)
Journal of Finance
, vol.47
, Issue.1
, pp. 43-69
-
-
Campbell, J.Y.1
Hamao, Y.2
-
6
-
-
1642406856
-
The determinants of stock returns in a small open economy
-
Cauchie, S. and Hoesli, M. and Isakov, D. (2004) The determinants of stock returns in a small open economy International Review of Economics and Finance, 13(2), pp. 167-185.
-
(2004)
International Review of Economics and Finance
, vol.13
, Issue.2
, pp. 167-185
-
-
Cauchie, S.1
Hoesli, M.2
Isakov, D.3
-
7
-
-
84983931920
-
Risk and return on real estate: Evidence from equity REITs
-
Chan, K. C. and Hendershott, P. H. and Sanders, A. B. (1990) Risk and return on real estate: Evidence from equity REITs AREUEA Journal, 18(4), pp. 431-452.
-
(1990)
AREUEA Journal
, vol.18
, Issue.4
, pp. 431-452
-
-
Chan, K.C.1
Hendershott, P.H.2
Sanders, A.B.3
-
8
-
-
0000496978
-
Economic forces and the stock market
-
Chen, N.-F. and Roll, R. and Ross, S. A. (1986) Economic forces and the stock market Journal of Business, 59(3), pp. 383-403.
-
(1986)
Journal of Business
, vol.59
, Issue.3
, pp. 383-403
-
-
Chen, N.-F.1
Roll, R.2
Ross, S.A.3
-
9
-
-
38249004459
-
Some empirical tests in the arbitrage pricing theory: Macrovariables vs. derived factors
-
Chen, S.-J. and Jordan, B.D. (1993) Some empirical tests in the arbitrage pricing theory: Macrovariables vs. derived factors Journal of Banking and Finance, 17(1), pp. 65-89.
-
(1993)
Journal of Banking and Finance
, vol.17
, Issue.1
, pp. 65-89
-
-
Chen, S.-J.1
Jordan, B.D.2
-
10
-
-
0031232374
-
Real estate and the arbitrage pricing theory: Macrovariables vs. derived factors
-
Chen, S.-J. and Hsieh, C. and Jordan, B. D. (1997) Real estate and the arbitrage pricing theory: Macrovariables vs. derived factors Real Estate Economics, 25(3), pp. 505-523.
-
(1997)
Real Estate Economics
, vol.25
, Issue.3
, pp. 505-523
-
-
Chen, S.-J.1
Hsieh, C.2
Jordan, B.D.3
-
11
-
-
85024998201
-
Macroeconomic factors, the APT and the UK stock market
-
Clare, A. D. and Thomas, S. (1994) Macroeconomic factors, the APT and the UK stock market Journal of Business Finance and Accounting, 21(3), pp. 309-330.
-
(1994)
Journal of Business Finance and Accounting
, vol.21
, Issue.3
, pp. 309-330
-
-
Clare, A.D.1
Thomas, S.2
-
12
-
-
84993900539
-
A test for the number of factors in an approximate factor model
-
Connor, G. and Korajczyk, R. A. (1993) A test for the number of factors in an approximate factor model Journal of Finance, 48(4), pp. 1263-1291.
-
(1993)
Journal of Finance
, vol.48
, Issue.4
, pp. 1263-1291
-
-
Connor, G.1
Korajczyk, R.A.2
-
14
-
-
0019682536
-
Several tests for model specification in the presence of alternative hypotheses
-
Davidson, R. and MacKinnon, J. (1981) Several tests for model specification in the presence of alternative hypotheses Econometrica, 49(3), pp. 781-793.
-
(1981)
Econometrica
, vol.49
, Issue.3
, pp. 781-793
-
-
Davidson, R.1
MacKinnon, J.2
-
15
-
-
84993848933
-
Fundamental economic variables, expected returns, and bond fund performance
-
Elton, E. J. and Gruber, M. J. and Blake, C. R. (1995) Fundamental economic variables, expected returns, and bond fund performance Journal of Finance, 50(4), pp. 1229-1256.
-
(1995)
Journal of Finance
, vol.50
, Issue.4
, pp. 1229-1256
-
-
Elton, E.J.1
Gruber, M.J.2
Blake, C.R.3
-
16
-
-
84925929029
-
Stock returns, real activity, inflation, and money
-
Fama, E.F. (1981) Stock returns, real activity, inflation, and money American Economic Review, 71(4), pp. 545-565.
-
(1981)
American Economic Review
, vol.71
, Issue.4
, pp. 545-565
-
-
Fama, E.F.1
-
17
-
-
0000928969
-
Risk, return and equilibrium: Empirical tests
-
Fama, E. F. and MacBeth, J. D. (1973) Risk, return and equilibrium: Empirical tests Journal of Political Economy, 81(3), pp. 607-636.
-
(1973)
Journal of Political Economy
, vol.81
, Issue.3
, pp. 607-636
-
-
Fama, E.F.1
MacBeth, J.D.2
-
18
-
-
34250890715
-
Business conditions and expected returns on stocks and bonds
-
Fama, E. F. and French, K. R. (1989) Business conditions and expected returns on stocks and bonds Journal of Financial Economics, 25(1), pp. 23-49.
-
(1989)
Journal of Financial Economics
, vol.25
, Issue.1
, pp. 23-49
-
-
Fama, E.F.1
French, K.R.2
-
19
-
-
33745534390
-
-
Federal Law on Mutual Funds of 18 March [LFP-RS 951.31]
-
Federal Law on Mutual Funds of 18 March 1994. [LFP-RS 951.31]
-
(1994)
-
-
-
20
-
-
0001944875
-
Sources of predictability in portfolio returns
-
May-June
-
Ferson, W. E. and Harvey, C. R. (1991) Sources of predictability in portfolio returns Financial Analysts Journal, 47(3), pp. 49-56. May-June,
-
(1991)
Financial Analysts Journal
, vol.47
, Issue.3
, pp. 49-56
-
-
Ferson, W.E.1
Harvey, C.R.2
-
21
-
-
0000369716
-
Sources of risk and expected returns in global equity markets
-
Ferson, W. E. and Harvey, C. R. (1994) Sources of risk and expected returns in global equity markets Journal of Banking and Finance, 18(4), pp. 775-803.
-
(1994)
Journal of Banking and Finance
, vol.18
, Issue.4
, pp. 775-803
-
-
Ferson, W.E.1
Harvey, C.R.2
-
22
-
-
27144513956
-
Financial integration: A new methodology and an illustration
-
NBER Working Paper Series No.-9880
-
Flood, R. P. and Rose, A. K. (2003) Financial integration: A new methodology and an illustration NBER Working Paper Series. No.-9880
-
(2003)
-
-
Flood, R.P.1
Rose, A.K.2
-
23
-
-
3543013513
-
Atypicalities and apartment rent concessions
-
Frew, J. R. and Jud, G. D. and Winkler, D. T. (1990) Atypicalities and apartment rent concessions Journal of Real Estate Research, 5(2), pp. 195-202.
-
(1990)
Journal of Real Estate Research
, vol.5
, Issue.2
, pp. 195-202
-
-
Frew, J.R.1
Jud, G.D.2
Winkler, D.T.3
-
24
-
-
0042859341
-
Do assumptions about factor structure matter in empirical tests of the APT?
-
Garrett, I. and Priestley, R. (1997) Do assumptions about factor structure matter in empirical tests of the APT? Journal of Business Finance and Accounting, 24(2), pp. 249-260.
-
(1997)
Journal of Business Finance and Accounting
, vol.24
, Issue.2
, pp. 249-260
-
-
Garrett, I.1
Priestley, R.2
-
26
-
-
0037814128
-
International real estate securities: A test of capital markets integration
-
Gordon, J. N. and Canter, T. A. (1999) International real estate securities: A test of capital markets integration Journal of Real Estate Portfolio Management, 5(2), pp. 161-170.
-
(1999)
Journal of Real Estate Portfolio Management
, vol.5
, Issue.2
, pp. 161-170
-
-
Gordon, J.N.1
Canter, T.A.2
-
27
-
-
0004296209
-
-
Upper Saddle River New Jersey: Prentice-Hall International
-
Greene, W. H. (2000). In Econometric Analysis. Upper Saddle River New Jersey: Prentice-Hall International.
-
(2000)
Econometric Analysis
-
-
Greene, W.H.1
-
28
-
-
84983980059
-
An approach to industrial real estate market segmentation and valuation using the arbitrage pricing paradigm
-
Grissom, T. V. and Hartzell, D. and Liu, C. H. (1987) An approach to industrial real estate market segmentation and valuation using the arbitrage pricing paradigm AREUEA Journal, 15(3), pp. 199-219.
-
(1987)
AREUEA Journal
, vol.15
, Issue.3
, pp. 199-219
-
-
Grissom, T.V.1
Hartzell, D.2
Liu, C.H.3
-
30
-
-
84977703701
-
Capital controls and international capital market segmentation: The evidence from Japanese and American stock markets
-
Gultekin, M. N. and Gultekin, N. B. and Penati, A. (1989) Capital controls and international capital market segmentation: The evidence from Japanese and American stock markets Journal of Finance, 44(4), pp. 849-879.
-
(1989)
Journal of Finance
, vol.44
, Issue.4
, pp. 849-879
-
-
Gultekin, M.N.1
Gultekin, N.B.2
Penati, A.3
-
31
-
-
0000414660
-
Large sample properties of the generalized method of moments estimators
-
Hansen, L. P. (1982) Large sample properties of the generalized method of moments estimators Econometrica, 50(4), pp. 1029-1054.
-
(1982)
Econometrica
, vol.50
, Issue.4
, pp. 1029-1054
-
-
Hansen, L.P.1
-
32
-
-
0002706930
-
The term structure and World economic growth
-
Harvey, C. (1991) The term structure and World economic growth Journal of Fixed Income, 1(1), pp. 4-17.
-
(1991)
Journal of Fixed Income
, vol.1
, Issue.1
, pp. 4-17
-
-
Harvey, C.1
-
33
-
-
0001183575
-
The structure of international stock returns and the integration of capital markets
-
Heston, S. L. and Rouwenhorst, K. G. and Wessels, R. E. (1995) The structure of international stock returns and the integration of capital markets Journal of Empirical Finance, 2(3), pp. 173-197.
-
(1995)
Journal of Empirical Finance
, vol.2
, Issue.3
, pp. 173-197
-
-
Heston, S.L.1
Rouwenhorst, K.G.2
Wessels, R.E.3
-
34
-
-
3543045061
-
International evidence on real estate as a portfolio diversifier
-
Hoesli, M. and Lekander, J. and Wietkiewicz, W. (2004) International evidence on real estate as a portfolio diversifier Journal of Real Estate Research, 26(2), pp. 161-206.
-
(2004)
Journal of Real Estate Research
, vol.26
, Issue.2
, pp. 161-206
-
-
Hoesli, M.1
Lekander, J.2
Wietkiewicz, W.3
-
35
-
-
0034552287
-
Book assets, real estate, and returns on common stock
-
Hsieh, C. and Peterson, J. D. (2000) Book assets, real estate, and returns on common stock Journal of Real Estate Finance and Economics, 21(3), pp. 221-233.
-
(2000)
Journal of Real Estate Finance and Economics
, vol.21
, Issue.3
, pp. 221-233
-
-
Hsieh, C.1
Peterson, J.D.2
-
36
-
-
21744449225
-
Relating global bond yields to macroeconomic forecasts
-
Spring
-
Jankus, J. C. (1997) Relating global bond yields to macroeconomic forecasts Journal of Portfolio Management, 23(3), pp. 96-101. Spring
-
(1997)
Journal of Portfolio Management
, vol.23
, Issue.3
, pp. 96-101
-
-
Jankus, J.C.1
-
37
-
-
0001644323
-
Potential performance and tests of portfolio efficiency
-
Jobson, J. D. and Korkie, B. (1982) Potential performance and tests of portfolio efficiency Journal of Financial Economics, 10(4), pp. 433-466.
-
(1982)
Journal of Financial Economics
, vol.10
, Issue.4
, pp. 433-466
-
-
Jobson, J.D.1
Korkie, B.2
-
38
-
-
84993839850
-
Explorations into factors explaining money market returns
-
Knez, P. J. and Litterman, R. and Scheinkman, J. (1994) Explorations into factors explaining money market returns Journal of Finance, 49(5), pp. 1861-1882.
-
(1994)
Journal of Finance
, vol.49
, Issue.5
, pp. 1861-1882
-
-
Knez, P.J.1
Litterman, R.2
Scheinkman, J.3
-
39
-
-
1542727112
-
A bounds test of equality between sets of coefficients in two linear regressions when disturbance variances are unequal
-
Kobayashi, M. (1986) A bounds test of equality between sets of coefficients in two linear regressions when disturbance variances are unequal Journal of the American Statistical Association, 81(394), pp. 510-513.
-
(1986)
Journal of the American Statistical Association
, vol.81
, Issue.394
, pp. 510-513
-
-
Kobayashi, M.1
-
41
-
-
0000288739
-
The empirical foundations of the arbitrage pricing theory
-
Lehmann, B. N. and Modest, D. M. (1988) The empirical foundations of the arbitrage pricing theory Journal of Financial Economics, 21(1), pp. 213-254.
-
(1988)
Journal of Financial Economics
, vol.21
, Issue.1
, pp. 213-254
-
-
Lehmann, B.N.1
Modest, D.M.2
-
42
-
-
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, 14(3), pp. 283-307.
-
(1997)
Journal of Real Estate Finance and Economics
, vol.14
, Issue.3
, pp. 283-307
-
-
Ling, D.C.1
Naranjo, A.2
-
43
-
-
0033196692
-
The integration of commercial real estate markets and stock markets
-
Ling, D. C. and Naranjo, A. (1999) The integration of commercial real estate markets and stock markets Real Estate Economics, 27(3), pp. 483-515.
-
(1999)
Real Estate Economics
, vol.27
, Issue.3
, pp. 483-515
-
-
Ling, D.C.1
Naranjo, A.2
-
44
-
-
0000685160
-
The integration of the real estate market and the stock market: Some preliminary evidence
-
Liu, C. H. and Hartzell, D. J. and Greig, W. and Grissom, T. V. (1990) The integration of the real estate market and the stock market: Some preliminary evidence Journal of Real Estate Finance and Economics, 3(3), pp. 261-282.
-
(1990)
Journal of Real Estate Finance and Economics
, vol.3
, Issue.3
, pp. 261-282
-
-
Liu, C.H.1
Hartzell, D.J.2
Greig, W.3
Grissom, T.V.4
-
45
-
-
0000631230
-
International evidence on real estate securities as an inflation hedge
-
Liu, C. H. and Hartzell, D. J. and Hoesli, M. E. (1997) International evidence on real estate securities as an inflation hedge Real Estate Economics, 25(2), pp. 193-221.
-
(1997)
Real Estate Economics
, vol.25
, Issue.2
, pp. 193-221
-
-
Liu, C.H.1
Hartzell, D.J.2
Hoesli, M.E.3
-
46
-
-
84952494803
-
Arbitrage pricing theory as a restricted nonlinear multivariate regression model: ITNLSUR estimates
-
McElroy, M. B. and Burmeister, E. (1988) Arbitrage pricing theory as a restricted nonlinear multivariate regression model: ITNLSUR estimates Journal of Business and Economic Statistics, 6(1), pp. 29-42.
-
(1988)
Journal of Business and Economic Statistics
, vol.6
, Issue.1
, pp. 29-42
-
-
McElroy, M.B.1
Burmeister, E.2
-
47
-
-
0001348882
-
Two estimators for the APT model when factors are measured
-
McElroy, M. B. and Burmeister, E. and Wall, K. D. (1985) Two estimators for the APT model when factors are measured Economics Letters, 19(3), pp. 271-275.
-
(1985)
Economics Letters
, vol.19
, Issue.3
, pp. 271-275
-
-
McElroy, M.B.1
Burmeister, E.2
Wall, K.D.3
-
48
-
-
33745583088
-
Do you have to know betas? An autoregressive method for testing APT
-
New York: World Scientific
-
Mei, J. (1994) Do you have to know betas? An autoregressive method for testing APT. In New Methods for the Arbitrage Pricing Theory and the Present Value. (pp. 1-43). New York: World Scientific.
-
(1994)
New Methods for the Arbitrage Pricing Theory and the Present Value
, pp. 1-43
-
-
Mei, J.1
-
49
-
-
84993915044
-
Additional evidence on integration in the Canadian stock market
-
Mittoo, U. R. (1992) Additional evidence on integration in the Canadian stock market Journal of Finance, 47(5), pp. 2035-2054.
-
(1992)
Journal of Finance
, vol.47
, Issue.5
, pp. 2035-2054
-
-
Mittoo, U.R.1
-
50
-
-
0031185238
-
Financial market integration tests: An investigation using US equity markets
-
Naranjo, A. and Protopapadakis, A. (1997) Financial market integration tests: An investigation using US equity markets Journal of International Financial Markets, Institutions and Money, 7(2), pp. 93-135.
-
(1997)
Journal of International Financial Markets, Institutions and Money
, vol.7
, Issue.2
, pp. 93-135
-
-
Naranjo, A.1
Protopapadakis, A.2
-
51
-
-
0000706085
-
A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
-
Newey, W. and West, K. (1987) A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix Econometrica, 55(3), pp. 703-708.
-
(1987)
Econometrica
, vol.55
, Issue.3
, pp. 703-708
-
-
Newey, W.1
West, K.2
-
52
-
-
84986500309
-
An empirical test of the arbitrage pricing theory
-
Pari, R. A. and Chen, S. (1984) An empirical test of the arbitrage pricing theory Journal of Financial Research, 7(2), pp. 121-130.
-
(1984)
Journal of Financial Research
, vol.7
, Issue.2
, pp. 121-130
-
-
Pari, R.A.1
Chen, S.2
-
53
-
-
0030162494
-
The arbitrage pricing theory, macroeconomic and financial sectors, and expectations generating
-
Priestley, R. (1996) The arbitrage pricing theory, macroeconomic and financial sectors, and expectations generating Journal of Banking and Finance, 20(5), pp. 869-890.
-
(1996)
Journal of Banking and Finance
, vol.20
, Issue.5
, pp. 869-890
-
-
Priestley, R.1
-
54
-
-
84977397160
-
An empirical investigation of the arbitrage pricing theory
-
Roll, R. and Ross, S. A. (1980) An empirical investigation of the arbitrage pricing theory Journal of Finance, 35(5), pp. 1073-1103.
-
(1980)
Journal of Finance
, vol.35
, Issue.5
, pp. 1073-1103
-
-
Roll, R.1
Ross, S.A.2
-
55
-
-
49549135545
-
The arbitrage theory of capital asset pricing
-
Ross, S. A. (1976) The arbitrage theory of capital asset pricing Journal of Economic Theory, 13(4), pp. 341-360.
-
(1976)
Journal of Economic Theory
, vol.13
, Issue.4
, pp. 341-360
-
-
Ross, S.A.1
-
56
-
-
0001783260
-
On the estimation of beta-pricing models
-
Shanken, J. (1992) On the estimation of beta-pricing models The Review of Financial Studies, 5(1), pp. 1-34.
-
(1992)
The Review of Financial Studies
, vol.5
, Issue.1
, pp. 1-34
-
-
Shanken, J.1
-
57
-
-
22744458689
-
Common risk factors and risk premia in direct and securitized real estate markets
-
Sing, T. F. (2004) Common risk factors and risk premia in direct and securitized real estate markets Journal of Property Research, 21(3), pp. 189-207.
-
(2004)
Journal of Property Research
, vol.21
, Issue.3
, pp. 189-207
-
-
Sing, T.F.1
-
58
-
-
33745555702
-
An asset market integration test based on observable macroeconomic stochastic discount factors
-
York: University of York. Working paper
-
Smith, P. N. and Sorensen, S. and Wickens, M. R. (2003) An asset market integration test based on observable macroeconomic stochastic discount factors. In. York: University of York. Working paper
-
(2003)
-
-
Smith, P.N.1
Sorensen, S.2
Wickens, M.R.3
-
59
-
-
33745517874
-
Seemingly Unrelated Regression Equations Models: Estimation and Inference
-
New York
-
Srivastava, V. K. and Giles, D. E. A. (1987) Seemingly Unrelated Regression Equations Models: Estimation and Inference Statistics: textbooks and monographs. vol.80, New York
-
(1987)
Statistics: Textbooks and Monographs
, vol.80
-
-
Srivastava, V.K.1
Giles, D.E.A.2
-
60
-
-
33745539252
-
Nonfarm employment and the arbitrage pricing theory
-
Thorbecke, W. and Chisholm, G. (1995) Nonfarm employment and the arbitrage pricing theory Economics Letters, 47(2), pp. 193-198.
-
(1995)
Economics Letters
, vol.47
, Issue.2
, pp. 193-198
-
-
Thorbecke, W.1
Chisholm, G.2
-
61
-
-
84984020057
-
Risk and the performance of real estate investment trusts: A multiple index approach
-
Titman, S. and Warga, A. (1986) Risk and the performance of real estate investment trusts: A multiple index approach AREUEA Journal, 14(3), pp. 414-431.
-
(1986)
AREUEA Journal
, vol.14
, Issue.3
, pp. 414-431
-
-
Titman, S.1
Warga, A.2
-
62
-
-
84944178665
-
Hierarchical grouping to optimize an objective function
-
Ward, J. H. Jr. (1963) Hierarchical grouping to optimize an objective function Journal of the American Statistical Association, 58(301), pp. 236-244.
-
(1963)
Journal of the American Statistical Association
, vol.58
, Issue.301
, pp. 236-244
-
-
Ward Jr., J.H.1
-
63
-
-
0000373016
-
An algorithm for hierarchical classification
-
Wishart, D. (1969) An algorithm for hierarchical classification Biometrics, 25(1), pp. 165-170.
-
(1969)
Biometrics
, vol.25
, Issue.1
, pp. 165-170
-
-
Wishart, D.1
|