메뉴 건너뛰기




Volumn 16, Issue 3, 2010, Pages 217-226

REITs: Hedging and diversification possibilities

Author keywords

[No Author keywords available]

Indexed keywords


EID: 79952957473     PISSN: 10835547     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article
Times cited : (11)

References (37)
  • 1
    • 0000501656 scopus 로고
    • Information theory and the extension of the maximum likelihood principle
    • B.N. Petrov and F. Csaki (eds.), Budapest
    • Akaike, H. Information Theory and the Extension of the Maximum Likelihood Principle. In: B.N. Petrov and F. Csaki (eds.), 2nd International Symposium on Information Theory. Budapest, 1973.
    • (1973) 2nd International Symposium on Information Theory
    • Akaike, H.1
  • 2
    • 0141882824 scopus 로고    scopus 로고
    • REIT organization structure and operating characteristics
    • Ambrose, B.W. and P. Linnemann. REIT Organization Structure and Operating Characteristics. Journal of Real Estate Research, 2001, 21:3, 141-62.
    • (2001) Journal of Real Estate Research , vol.21 , Issue.3 , pp. 141-162
    • Ambrose, B.W.1    Linnemann, P.2
  • 3
    • 0000003785 scopus 로고    scopus 로고
    • Panel data unit roots and cointegration: An overview
    • Banerjee, A. Panel Data Unit Roots and Cointegration: An Overview. Oxford Bulletin of Economics and Statistics, 1999, 61, 607-29. (Pubitemid 33587433)
    • (1999) Oxford Bulletin of Economics and Statistics , vol.61 , Issue.SUPPL. , pp. 607-629
    • Banerjee, A.1
  • 5
    • 84974489320 scopus 로고
    • Arbitrage, cointegration, and testing the unbiasedness hypothesis in financial markets
    • Brenner, R.J. and K.F. Kroner. Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets. Journal of Financial and Quantitative Analysis, 1995, 30:1, 23-42.
    • (1995) Journal of Financial and Quantitative Analysis , vol.30 , Issue.1 , pp. 23-42
    • Brenner, R.J.1    Kroner, K.F.2
  • 6
    • 0001074664 scopus 로고    scopus 로고
    • Institutional investment in REITs: Evidence and implications
    • Chan, S.H., W.K. Leung, and K. Wang. Institutional Investment in REITs: Evidence and Implications. Journal of Real Estate Research, 1998, 16:3, 357-74.
    • (1998) Journal of Real Estate Research , vol.16 , Issue.3 , pp. 357-374
    • Chan, S.H.1    Leung, W.K.2    Wang, K.3
  • 8
    • 0042637928 scopus 로고    scopus 로고
    • Stationarity and cointegration in systems with real estate and financial assets
    • Chaudhry, M.K., F.C.N. Myer, and J.R. Webb. Stationarity and Cointegration in Systems with Real Estate and Financial Assets. Journal of Real Estate Finance and Economics, 1999, 18: 3, 339-49.
    • (1999) Journal of Real Estate Finance and Economics , vol.18 , Issue.3 , pp. 339-349
    • Chaudhry, M.K.1    Myer, F.C.N.2    Webb, J.R.3
  • 10
    • 0010079761 scopus 로고
    • Unit roots tests: Evidence from the foreign exchange futures market
    • Doukas, J. and A. Rahman. Unit Roots Tests: Evidence from the Foreign Exchange Futures Market. Journal of Financial and Quantitative Analysis, 1987, 22:1, 101-08.
    • (1987) Journal of Financial and Quantitative Analysis , vol.22 , Issue.1 , pp. 101-108
    • Doukas, J.1    Rahman, A.2
  • 11
    • 0000013567 scopus 로고
    • Co-integration and error correction: Representation, estimation, and testing
    • Engle, R.F. and C.W.J. Granger. Co-integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 1987, 55, 251-76.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 12
    • 69449095472 scopus 로고    scopus 로고
    • Time and risk diversification in real estate investments: Assessing the Ex post economic value
    • Fugazza, C., M. Guidolin, and G. Nicodano. Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value. Real Estate Economics, 2009, 37:3, 341-81.
    • (2009) Real Estate Economics , vol.37 , Issue.3 , pp. 341-381
    • Fugazza, C.1    Guidolin, M.2    Nicodano, G.3
  • 13
    • 3843100133 scopus 로고    scopus 로고
    • Serial persistence in equity REIT returns
    • Graff, R.A. and M.S. Young. Serial Persistence in Equity REIT Returns. Journal of Real Estate Research, 1997,14:3,183-214.
    • (1997) Journal of Real Estate Research , vol.14 , Issue.3 , pp. 183-214
    • Graff, R.A.1    Young, M.S.2
  • 15
    • 0001689352 scopus 로고
    • The historical performance of real estate investment trusts
    • Han, J. and Y. Liang. The Historical Performance of Real Estate Investment Trusts. Journal of Real Estate Research, 1995, 10:3, 235-62.
    • (1995) Journal of Real Estate Research , vol.10 , Issue.3 , pp. 235-262
    • Han, J.1    Liang, Y.2
  • 17
    • 0345510809 scopus 로고
    • Statistical analysis of cointegration vectors
    • Johansen, S. Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 1988,12:2/3,23154.
    • (1988) Journal of Economic Dynamics and Control , vol.12 , Issue.2-3 , pp. 23154
    • Johansen, S.1
  • 18
    • 0000158117 scopus 로고
    • Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models
    • -. Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 1991, 59:6, 1551-80.
    • (1991) Econometrica , vol.59 , Issue.6 , pp. 1551-1580
    • Johansen, S.1
  • 19
    • 84857011070 scopus 로고
    • The role of the constant term in the cointegration analysis of non-stationary variables
    • -. The Role of the Constant Term in the Cointegration Analysis of Non-Stationary Variables. Econometric Reviews, 1994, 13, 205-19.
    • (1994) Econometric Reviews , vol.13 , pp. 205-219
    • Johansen, S.1
  • 20
    • 84981579311 scopus 로고
    • Maximum likelihood estimation and inference on cointegration-with applications to the demand for money
    • Johansen, S. and K Juselius. Maximum Likelihood Estimation and Inference On Cointegration-With Applications to the Demand for Money. Oxford Bulletin of Economics and Statistics, 1990, 52:2, 169-21.
    • (1990) Oxford Bulletin of Economics and Statistics , vol.52 , Issue.2 , pp. 169-221
    • Johansen, S.1    Juselius, K.2
  • 21
    • 44049117018 scopus 로고
    • Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
    • -. Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the UIP for UK Journal of Econometrics, 1992, 53:1/2/3, 211-44.
    • (1992) Journal of Econometrics , vol.53 , Issue.1-2 , pp. 211-244
    • Johansen, S.1    Juselius, K.2
  • 22
    • 84977712229 scopus 로고
    • The temporal price relationship between S&P 500 futures and the S&P 500 index
    • Kawaller, I.G., P.D. Koch, and T.W Koch. The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index. Journal of Finance, 1987, 42:5, 1309-29.
    • (1987) Journal of Finance , vol.42 , Issue.5 , pp. 1309-1329
    • Kawaller, I.G.1    Koch, P.D.2    Koch, T.W.3
  • 24
    • 0030514052 scopus 로고    scopus 로고
    • Linkages between agricultural commodity futures contracts
    • Malliaris, A.G. and J.L. Urrutia. Linkages between Agricultural Commodity Futures Contracts. Journal of Futures Markets, 1996, 16:5, 595-609.
    • (1996) Journal of Futures Markets , vol.16 , Issue.5 , pp. 595-609
    • Malliaris, A.G.1    Urrutia, J.L.2
  • 25
    • 0141871434 scopus 로고
    • Statistical properties of returns: Financial assets versus commercial real estate
    • Myer, F.C.N. and J.R. Webb. Statistical Properties of Returns: Financial Assets Versus Commercial Real Estate. Journal of Real Estate Finance and Economics, 1994, 8:3, 267-82.
    • (1994) Journal of Real Estate Finance and Economics , vol.8 , Issue.3 , pp. 267-282
    • Myer, F.C.N.1    Webb, J.R.2
  • 26
    • 49049143455 scopus 로고
    • Trends and random walks in macroeconomic time series: Some evidence and implications
    • Nelson, C.R. and C.I. Plosser. Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications. Journal of Monetary Economics, 1982, 10:2, 139-62.
    • (1982) Journal of Monetary Economics , vol.10 , Issue.2 , pp. 139-162
    • Nelson, C.R.1    Plosser, C.I.2
  • 27
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, WK. and K.D. West. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, 1987, 55:3, 703-08.
    • (1987) Econometrica , vol.55 , Issue.3 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 31
    • 77956888124 scopus 로고
    • Testing for a unit root in time series regression
    • Phillips, P.C.B. and P. Perron. Testing for a Unit Root in Time Series Regression. Biometrica, 1988, 75, 335-46.
    • (1988) Biometrica , vol.75 , pp. 335-346
    • Phillips, P.C.B.1    Perron, P.2
  • 33
    • 0040655447 scopus 로고    scopus 로고
    • Integration of the mortgage market into the national capital markets: 1963-1993
    • DOI 10.1006/jhec.1997.0207, PII S1051137797902072
    • Rudolph, P.M. and J. Griffiths. Integration of the Mortgage Market into the National Capital Markets: 1963-1993. Journal of Housing Economics, 1997, 6, 164-83. (Pubitemid 127340728)
    • (1997) Journal of Housing Economics , vol.6 , Issue.2 , pp. 164-183
    • Rudolph, P.M.1    Griffith, J.2
  • 35
    • 14344281401 scopus 로고
    • Testing the random walk hypothesis: Power versus frequency of observation
    • Shiller, R.J. and P. Perron. Testing the Random Walk Hypothesis: Power versus Frequency of Observation. Economic Letters, 1985, 18, 381-86.
    • (1985) Economic Letters , vol.18 , pp. 381-386
    • Shiller, R.J.1    Perron, P.2
  • 36
    • 0141463888 scopus 로고
    • Evidence on the existence of speculative bubbles in farmland prices
    • Tegene, A. and F.R. Kuchler. Evidence on the Existence of Speculative Bubbles in Farmland Prices. Journal of Real Estate Finance and Economics, 1993, 6:3, 223-36.
    • (1993) Journal of Real Estate Finance and Economics , vol.6 , Issue.3 , pp. 223-236
    • Tegene, A.1    Kuchler, F.R.2
  • 37
    • 84984020057 scopus 로고
    • Risk and the performance of real estate investment trusts: A multiple index approach
    • Titman, S. and A. Warga. Risk and the Performance of Real Estate Investment Trusts: A Multiple Index Approach. Journal of Real Estate Research, 1986, 14:3, 414-31.
    • (1986) Journal of Real Estate Research , vol.14 , Issue.3 , pp. 414-431
    • Titman, S.1    Warga, A.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.