메뉴 건너뛰기




Volumn , Issue , 2003, Pages 1-168

Econometric analysis of the real estate market and investment

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84905936784     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.4324/9780203164396     Document Type: Book
Times cited : (9)

References (280)
  • 1
    • 0001320055 scopus 로고
    • A unified model of investment under uncertainty
    • Abel, A.B. and Eberly, J. (1994), A unified model of investment under uncertainty, American Economic Review, 84, 1369-1384.
    • (1994) American Economic Review , vol.84 , pp. 1369-1384
    • Abel, A.B.1    Eberly, J.2
  • 2
    • 4344660013 scopus 로고
    • Temporal aggregation and time series
    • Abraham, B. (1982), Temporal aggregation and time series, International Statistical Review, 50, 285-291.
    • (1982) International Statistical Review , vol.50 , pp. 285-291
    • Abraham, B.1
  • 4
    • 84993906200 scopus 로고
    • On error correction models: specification, interpretation, estimation
    • Alogoskoufis, G. and Smith, R. (1991), On error correction models: specification, interpretation, estimation, Journal of Economic Surveys, 5, 97-128.
    • (1991) Journal of Economic Surveys , vol.5 , pp. 97-128
    • Alogoskoufis, G.1    Smith, R.2
  • 5
    • 45949119836 scopus 로고
    • A monthly effect in stock returns
    • Ariel, R.A. (1987), A monthly effect in stock returns, Journal of Financial Economics, 18, 161-174.
    • (1987) Journal of Financial Economics , vol.18 , pp. 161-174
    • Ariel, R.A.1
  • 6
    • 0000643615 scopus 로고
    • High stock returns before holidays: existence and evidence on possible causes
    • Ariel, R.A. (1990), High stock returns before holidays: existence and evidence on possible causes, Journal of Finance, 45, 1611-1626.
    • (1990) Journal of Finance , vol.45 , pp. 1611-1626
    • Ariel, R.A.1
  • 7
    • 84993869147 scopus 로고
    • Event study methods and evidence on their performance
    • Armitage, S. (1995), Event study methods and evidence on their performance, Journal of Economic Surveys, 8, 25-52.
    • (1995) Journal of Economic Surveys , vol.8 , pp. 25-52
    • Armitage, S.1
  • 8
    • 0001368861 scopus 로고
    • Testing for price anomalies in real estate auction
    • Ashenfelter, O. and Genesove, D. (1992), Testing for price anomalies in real estate auction, American Economic Review, 82, 501-505.
    • (1992) American Economic Review , vol.82 , pp. 501-505
    • Ashenfelter, O.1    Genesove, D.2
  • 9
    • 0012387561 scopus 로고
    • Risk, time-varying second moments and market efficiency
    • Attanasio, O.P. (1991), Risk, time-varying second moments and market efficiency, Review of Economic Studies, 58, 479-494.
    • (1991) Review of Economic Studies , vol.58 , pp. 479-494
    • Attanasio, O.P.1
  • 11
    • 0001284735 scopus 로고
    • Anomalies in relationships between securities' yields and yield surrogates
    • Ball, R. (1978), Anomalies in relationships between securities' yields and yield surrogates, Journal of Financial Economics, 6, 103-126.
    • (1978) Journal of Financial Economics , vol.6 , pp. 103-126
    • Ball, R.1
  • 12
    • 0002742759 scopus 로고
    • An empirical evaluation of accounting income numbers
    • Ball, R. and Brown, P. (1968), An empirical evaluation of accounting income numbers, Journal of Accounting Research, 6, 159-178.
    • (1968) Journal of Accounting Research , vol.6 , pp. 159-178
    • Ball, R.1    Brown, P.2
  • 14
    • 0010023511 scopus 로고
    • The relationship between return and market value of common stocks
    • Banz, R.W. (1981), The relationship between return and market value of common stocks, Journal of Financial Economics, 9, 3-18.
    • (1981) Journal of Financial Economics , vol.9 , pp. 3-18
    • Banz, R.W.1
  • 17
    • 0021074480 scopus 로고
    • A simple theoretical model of the office development cycle
    • Barras, R. (1983), A simple theoretical model of the office development cycle, Environment and Planning A, 15, 1381-1394.
    • (1983) Environment and Planning A , vol.15 , pp. 1381-1394
    • Barras, R.1
  • 18
    • 0023088206 scopus 로고
    • Technical change and the urban development cycle
    • Barras, R. (1987), Technical change and the urban development cycle, Urban Studies, 24, 5-30.
    • (1987) Urban Studies , vol.24 , pp. 5-30
    • Barras, R.1
  • 19
    • 0001117510 scopus 로고
    • Property and the economic cycle: building cycles revisited
    • Barras, R. (1994), Property and the economic cycle: building cycles revisited, Journal of Property Research, 11, 183-197.
    • (1994) Journal of Property Research , vol.11 , pp. 183-197
    • Barras, R.1
  • 20
    • 0022195651 scopus 로고
    • A spectral analysis of building cycles in Britain
    • Barras, R. and Ferguson, D. (1985), A spectral analysis of building cycles in Britain, Environment and Planning A, 17, 1369-1391.
    • (1985) Environment and Planning A , vol.17 , pp. 1369-1391
    • Barras, R.1    Ferguson, D.2
  • 21
    • 0023140435 scopus 로고
    • Dynamic modelling of the building cycle: 1. Theoretical framework
    • Barras, R. and Ferguson, D. (1987a), Dynamic modelling of the building cycle: 1. Theoretical framework, Environment and Planning A, 19, 353-367.
    • (1987) Environment and Planning A , vol.19 , pp. 353-367
    • Barras, R.1    Ferguson, D.2
  • 22
    • 0023067088 scopus 로고
    • Dynamic modelling of the building cycle: 2. Empirical results
    • Barras, R. and Ferguson, D. (1987b), Dynamic modelling of the building cycle: 2. Empirical results, Environment and Planning A, 19, 493-520.
    • (1987) Environment and Planning A , vol.19 , pp. 493-520
    • Barras, R.1    Ferguson, D.2
  • 23
    • 0002830949 scopus 로고
    • Rational expectations and the role of monetary policy
    • Barro, R.J. (1976), Rational expectations and the role of monetary policy, Journal of Monetary Economics, 2, 1-32.
    • (1976) Journal of Monetary Economics , vol.2 , pp. 1-32
    • Barro, R.J.1
  • 24
    • 0001443292 scopus 로고
    • Unanticipated money growth and unemployment in the United States
    • Barro, R.J. (1977), Unanticipated money growth and unemployment in the United States, American Economic Review, 67, 101-115.
    • (1977) American Economic Review , vol.67 , pp. 101-115
    • Barro, R.J.1
  • 25
    • 0001672932 scopus 로고
    • Unanticipated money, output, and the price level in the United States
    • Barro, R.J. (1978), Unanticipated money, output, and the price level in the United States, Journal of Political Economy, 86, 549-580.
    • (1978) Journal of Political Economy , vol.86 , pp. 549-580
    • Barro, R.J.1
  • 27
    • 0001819765 scopus 로고
    • Post earnings announcement drift: delayed price response or risk premium?
    • Bernard, V.L. and Thomas, J.K. (1990), Post earnings announcement drift: delayed price response or risk premium? Journal of Accounting Research, 27 (Supplement), 1-36.
    • (1990) Journal of Accounting Research , vol.27 , Issue.SUPPLEMENT , pp. 1-36
    • Bernard, V.L.1    Thomas, J.K.2
  • 28
    • 49149136203 scopus 로고
    • A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the 'business cycles'
    • Beveridge, S. and Nelson, C.R. (1981), A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the 'business cycles', Journal of Monetary Economics, 7, 151-174.
    • (1981) Journal of Monetary Economics , vol.7 , pp. 151-174
    • Beveridge, S.1    Nelson, C.R.2
  • 29
    • 0001145057 scopus 로고
    • Stock price reactions to LIFO adoptions: the association between excess returns and LIFO tax savings
    • Biddle, G.C. and Lindahl, F.W. (1982), Stock price reactions to LIFO adoptions: the association between excess returns and LIFO tax savings, Journal of Accounting Research, 20, 551-588.
    • (1982) Journal of Accounting Research , vol.20 , pp. 551-588
    • Biddle, G.C.1    Lindahl, F.W.2
  • 30
    • 0002253827 scopus 로고
    • Yes Virginia, there is hope: tests of the value line ranking system
    • Black, F. (1973), Yes Virginia, there is hope: tests of the value line ranking system, Financial Analysts Journal, 29, 10-14.
    • (1973) Financial Analysts Journal , vol.29 , pp. 10-14
    • Black, F.1
  • 31
    • 0024814096 scopus 로고
    • A traditional interpretation of macroeconomic fluctuations
    • Blanchard, O.J. (1989), A traditional interpretation of macroeconomic fluctuations, American Economic Review, 79, 1146-1164.
    • (1989) American Economic Review , vol.79 , pp. 1146-1164
    • Blanchard, O.J.1
  • 32
    • 0000429345 scopus 로고
    • Consumption: beyond certainty equivalence
    • Blanchard, O.J. and Mankiw, N.W. (1988), Consumption: beyond certainty equivalence, American Economic Review, 78 (Papers and Proceedings), 173-177.
    • (1988) American Economic Review , vol.78 , Issue.PAPERS AND PROCEEDINGS , pp. 173-177
    • Blanchard, O.J.1    Mankiw, N.W.2
  • 33
    • 85016078433 scopus 로고
    • The dynamic effects of aggregate demand and supply disturbances
    • Blanchard, O.J. and Quah, D. (1989), The dynamic effects of aggregate demand and supply disturbances, American Economic Review, 79, 655-673.
    • (1989) American Economic Review , vol.79 , pp. 655-673
    • Blanchard, O.J.1    Quah, D.2
  • 34
    • 0001866008 scopus 로고
    • Bubbles, rational expectations and financial markets
    • in Wachtel, P. (ed), Lexington Books, Lexington, MA
    • Blanchard, O.J. and Watson, M.W. (1982), Bubbles, rational expectations and financial markets, in Wachtel, P. (ed), Crises in the Economic and Financial Structure, Lexington Books, Lexington, MA.
    • (1982) Crises in the Economic and Financial Structure
    • Blanchard, O.J.1    Watson, M.W.2
  • 35
    • 0002555764 scopus 로고
    • Are business cycles all alike?
    • in Gordon, R.J. (ed), University of Chicago Press, Chicago, IL
    • Blanchard, O.J. and Watson, M.W. (1986), Are business cycles all alike?, in Gordon, R.J. (ed), American Economic Review, University of Chicago Press, Chicago, IL.
    • (1986) American Economic Review
    • Blanchard, O.J.1    Watson, M.W.2
  • 36
    • 0001564888 scopus 로고
    • Property portfolio allocation: a multi factor model
    • Blundell, G.F. and Ward, C.W.R. (1987), Property portfolio allocation: a multi factor model, Land Development Studies, 4, 145-156.
    • (1987) Land Development Studies , vol.4 , pp. 145-156
    • Blundell, G.F.1    Ward, C.W.R.2
  • 37
    • 0000375581 scopus 로고
    • A conditionally heteroskedastic time series model for speculative prices and rates of return
    • Bollerslev, T. (1987) A conditionally heteroskedastic time series model for speculative prices and rates of return, Review of Economics and Statistics, 69, 542-547.
    • (1987) Review of Economics and Statistics , vol.69 , pp. 542-547
    • Bollerslev, T.1
  • 38
    • 0009713512 scopus 로고
    • An intertemporal asset pricing model with stochastic consumption and investment opportunities
    • Breeden, D.T. (1979), An intertemporal asset pricing model with stochastic consumption and investment opportunities, Journal of Financial Economics, 7, 265-296.
    • (1979) Journal of Financial Economics , vol.7 , pp. 265-296
    • Breeden, D.T.1
  • 42
    • 0008670084 scopus 로고
    • Measuring the persistence of expected returns
    • Campbell, J.Y. (1990), Measuring the persistence of expected returns, American Economic Review, 80 (Papers and Proceedings), 43-47.
    • (1990) American Economic Review , vol.80 , Issue.PAPERS AND PROCEEDINGS , pp. 43-47
    • Campbell, J.Y.1
  • 43
    • 0000433727 scopus 로고
    • A variance decomposition for stock returns
    • Campbell, J.Y. (1991), A variance decomposition for stock returns, The Economic Journal, 101, 157-179.
    • (1991) The Economic Journal , vol.101 , pp. 157-179
    • Campbell, J.Y.1
  • 44
    • 0000398030 scopus 로고
    • Inspecting the mechanism -an analytical approach to the stochastic growth model
    • Campbell, J.Y. (1994), Inspecting the mechanism -an analytical approach to the stochastic growth model, Journal of Monetary Economics, 33, 463-506.
    • (1994) Journal of Monetary Economics , vol.33 , pp. 463-506
    • Campbell, J.Y.1
  • 46
    • 0000749502 scopus 로고
    • Permanent and transitory components in macroeconomic fluctuations
    • Campbell, J.Y. and Mankiw, N.W. (1987b), Permanent and transitory components in macroeconomic fluctuations, American Economic Review, 77 (Papers and Proceedings), 111-117.
    • (1987) American Economic Review , vol.77 , Issue.PAPERS AND PROCEEDINGS , pp. 111-117
    • Campbell, J.Y.1    Mankiw, N.W.2
  • 47
    • 0000125480 scopus 로고
    • International evidence on the persistence of economic fluctuations
    • Campbell, J.Y. and Mankiw, N.W. (1989), International evidence on the persistence of economic fluctuations, Journal of Monetary Economics, 23, 319-333.
    • (1989) Journal of Monetary Economics , vol.23 , pp. 319-333
    • Campbell, J.Y.1    Mankiw, N.W.2
  • 48
    • 84936220056 scopus 로고
    • Cointegration and tests of present value models
    • Campbell, J.Y. and Shiller, R.J. (1987), Cointegration and tests of present value models, Journal of Political Economy, 95, 1062-1088.
    • (1987) Journal of Political Economy , vol.95 , pp. 1062-1088
    • Campbell, J.Y.1    Shiller, R.J.2
  • 49
    • 84977717068 scopus 로고
    • Stock prices, earnings and expected dividends
    • Campbell, J.Y. and Shiller, R.J. (1988a), Stock prices, earnings and expected dividends, Journal of Finance, 43, 661-676.
    • (1988) Journal of Finance , vol.43 , pp. 661-676
    • Campbell, J.Y.1    Shiller, R.J.2
  • 50
    • 0000007521 scopus 로고
    • The dividend-price ratio and expectations of future dividends and discount factors
    • Campbell, J.Y. and Shiller, R.J. (1988b), The dividend-price ratio and expectations of future dividends and discount factors, Review of Financial Studies, 1, 195-228.
    • (1988) Review of Financial Studies , vol.1 , pp. 195-228
    • Campbell, J.Y.1    Shiller, R.J.2
  • 53
    • 0001969524 scopus 로고
    • Predicting excess returns in financial markets
    • Canova, F. and Marrinan, J. (1995), Predicting excess returns in financial markets, European Economic Review, 39, 35-69.
    • (1995) European Economic Review , vol.39 , pp. 35-69
    • Canova, F.1    Marrinan, J.2
  • 54
    • 0024569535 scopus 로고
    • The efficiency of the market for single-family homes
    • Case, K.E. and Shiller, R.J. (1989), The efficiency of the market for single-family homes, American Economic Review, 79, 125-137.
    • (1989) American Economic Review , vol.79 , pp. 125-137
    • Case, K.E.1    Shiller, R.J.2
  • 56
    • 84977738382 scopus 로고
    • Financial investment opportunities and the macroeconomy
    • Chen, N.F. (1991), Financial investment opportunities and the macroeconomy, Journal of Finance, 46, 529-554.
    • (1991) Journal of Finance , vol.46 , pp. 529-554
    • Chen, N.F.1
  • 57
    • 0000496978 scopus 로고
    • Economic forces and the stock market
    • Chen, N.F., Roll, R. and Ross, S.A. (1986), Economic forces and the stock market, Journal of Business, 59, 383-403.
    • (1986) Journal of Business , vol.59 , pp. 383-403
    • Chen, N.F.1    Roll, R.2    Ross, S.A.3
  • 58
    • 84905926013 scopus 로고
    • Non-nested tests of three competing theories of business cycles
    • Chowdhury, A.R., McGibany, J.M. and Nourzad, F. (1994), Non-nested tests of three competing theories of business cycles, Applied Economics, 26, 527-534.
    • (1994) Applied Economics , vol.26 , pp. 527-534
    • Chowdhury, A.R.1    McGibany, J.M.2    Nourzad, F.3
  • 59
    • 0023472660 scopus 로고
    • The cyclical component of the U.S. economic activity
    • Clark, P.K. (1987), The cyclical component of the U.S. economic activity, Quarterly Journal of Economics, 102, 797-814.
    • (1987) Quarterly Journal of Economics , vol.102 , pp. 797-814
    • Clark, P.K.1
  • 60
    • 0011411304 scopus 로고
    • Business cycle fluctuations in US regions and industries: the roles of national, region-specific, and industry-specific shocks
    • ResearchWorking Paper RWP 92-05, Federal Reserve Bank of Kansas City
    • Clark, T.E. (1992), Business cycle fluctuations in US regions and industries: the roles of national, region-specific, and industry-specific shocks, ResearchWorking Paper RWP 92-05, Federal Reserve Bank of Kansas City.
    • (1992)
    • Clark, T.E.1
  • 63
    • 84936823544 scopus 로고
    • How big is the random walk in GNP?
    • Cochrane, J.H. (1988), How big is the random walk in GNP? Journal of Political Economy, 96, 893-920.
    • (1988) Journal of Political Economy , vol.96 , pp. 893-920
    • Cochrane, J.H.1
  • 65
    • 0002449203 scopus 로고
    • Speculative dynamics and the role of feedback traders
    • Cutler, D.M., Poterba, J.M. and Summers, L.H. (1990), Speculative dynamics and the role of feedback traders, American Economic Review, 80 (Papers and Proceedings), 63-68.
    • (1990) American Economic Review , vol.80 , Issue.PAPERS AND PROCEEDINGS , pp. 63-68
    • Cutler, D.M.1    Poterba, J.M.2    Summers, L.H.3
  • 67
    • 0019682536 scopus 로고
    • Several tests for model specification in the presence of alternative hypotheses
    • Davidson, R. and MacKinnon, J.G. (1981), Several tests for model specification in the presence of alternative hypotheses, Econometrica, 49, 781-793.
    • (1981) Econometrica , vol.49 , pp. 781-793
    • Davidson, R.1    MacKinnon, J.G.2
  • 68
    • 84925980619 scopus 로고
    • Some non-nested hypothesis tests and the relations among them
    • Davidson, R. and MacKinnon, J.G. (1982), Some non-nested hypothesis tests and the relations among them, Review of Economic Studies, 49, 551-565.
    • (1982) Review of Economic Studies , vol.49 , pp. 551-565
    • Davidson, R.1    MacKinnon, J.G.2
  • 69
    • 84950621876 scopus 로고
    • Adjustment of monthly or quarterly series to annual totals: an approach based on quadratic minimization
    • Denton, F.T. (1971), Adjustment of monthly or quarterly series to annual totals: an approach based on quadratic minimization, Journal of the American Statistical Association, 66, 99-102.
    • (1971) Journal of the American Statistical Association , vol.66 , pp. 99-102
    • Denton, F.T.1
  • 70
    • 85036258669 scopus 로고
    • Distribution of the estimators for autoregressive time series with a unit root
    • Dickey, D.A. and Fuller, W.A. (1979), Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, 427-431.
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 71
    • 0000472488 scopus 로고
    • The likelihood ratio statistics for autoregressive time series with a unit root
    • Dickey, D.A. and Fuller, W.A. (1981), The likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49, 1057-1072.
    • (1981) Econometrica , vol.49 , pp. 1057-1072
    • Dickey, D.A.1    Fuller, W.A.2
  • 72
    • 0002996678 scopus 로고
    • Unit roots in economic time series: a selective survey
    • in Fomby, T.B and Rhodes, G.F. Jr. (eds), Spurious Regressions, and Unit Roots, JAT Press, Greenwich
    • Diebold, F.X. and Nerlove, M. (1990), Unit roots in economic time series: a selective survey, in Fomby, T.B and Rhodes, G.F. Jr. (eds), Advances in Econometrics, vol 8: Cointegration, Spurious Regressions, and Unit Roots, 3-69, JAT Press, Greenwich.
    • (1990) Advances in Econometrics, vol 8: Cointegration , pp. 3-69
    • Diebold, F.X.1    Nerlove, M.2
  • 73
    • 33749638253 scopus 로고
    • Risk measurement when shares are subject to infrequent trading
    • Dimson, E. (1979), Risk measurement when shares are subject to infrequent trading, Journal of Financial Economics, 7, 197-226.
    • (1979) Journal of Financial Economics , vol.7 , pp. 197-226
    • Dimson, E.1
  • 74
    • 0000503034 scopus 로고
    • The stability of UK risk measures and the problem of thin trading
    • Dimson, E. and Marsh, P.R. (1983), The stability of UK risk measures and the problem of thin trading, Journal of Finance, 38, 753-783.
    • (1983) Journal of Finance , vol.38 , pp. 753-783
    • Dimson, E.1    Marsh, P.R.2
  • 75
    • 0004829270 scopus 로고
    • Event study methodologies and the size effect: the case of UK press recommendations
    • Dimson, E. and Marsh, P.R. (1986) Event study methodologies and the size effect: the case of UK press recommendations, Journal of Financial Economics, 17, 113-143.
    • (1986) Journal of Financial Economics , vol.17 , pp. 113-143
    • Dimson, E.1    Marsh, P.R.2
  • 77
    • 84984192268 scopus 로고
    • The determinants of commercial property prices and rents
    • Dobson, S.M. and Goddard, J.A. (1992), The determinants of commercial property prices and rents, Bulletin of Economic Research, 44, 301-321.
    • (1992) Bulletin of Economic Research , vol.44 , pp. 301-321
    • Dobson, S.M.1    Goddard, J.A.2
  • 82
    • 21144474059 scopus 로고
    • Efficiency with costly information: a reinterpretation of evidence for managed portfolios
    • Elton, E., Gruber, M., Das, S. and Hlavka, M. (1993), Efficiency with costly information: a reinterpretation of evidence for managed portfolios, Review of Financial Studies, 6, 1-22.
    • (1993) Review of Financial Studies , vol.6 , pp. 1-22
    • Elton, E.1    Gruber, M.2    Das, S.3    Hlavka, M.4
  • 83
    • 84986773513 scopus 로고
    • A unified approach to the study of sums, products, timeaggregation and other functions of ARMA processes
    • Engle, E.M.R.A. (1984), A unified approach to the study of sums, products, timeaggregation and other functions of ARMA processes, Journal of Time series Analysis, 5, 159-171.
    • (1984) Journal of Time series Analysis , vol.5 , pp. 159-171
    • Engle, E.M.R.A.1
  • 84
    • 0000013567 scopus 로고
    • Cointegration and error correction: representation, estimation, and testing
    • Engle, R.F, and Granger, C.W.J. (1987), Cointegration and error correction: representation, estimation, and testing, Econometrica, 55, 251-267.
    • (1987) Econometrica , vol.55 , pp. 251-267
    • Engle, R.F.1    Granger, C.W.J.2
  • 86
    • 84986398264 scopus 로고
    • Output and unemployment dynamics in the United States: 1950-1985
    • Evans, G.W. (1989), Output and unemployment dynamics in the United States: 1950-1985, Journal of Applied Econometrics, 4, 213-37.
    • (1989) Journal of Applied Econometrics , vol.4 , pp. 213-237
    • Evans, G.W.1
  • 87
    • 0000945847 scopus 로고
    • Pitfalls in testing for explosive bubbles in asset prices
    • Evans, G.W. (1991), Pitfalls in testing for explosive bubbles in asset prices, American Economic Review, 81, 922-930.
    • (1991) American Economic Review , vol.81 , pp. 922-930
    • Evans, G.W.1
  • 89
    • 0041872532 scopus 로고
    • Information, forecasts, and measurement of the business cycle
    • Evans, G. and Reichlin, L. (1994), Information, forecasts, and measurement of the business cycle, Journal of Monetary Economics, 33, 233-254.
    • (1994) Journal of Monetary Economics , vol.33 , pp. 233-254
    • Evans, G.1    Reichlin, L.2
  • 90
    • 0000480869 scopus 로고
    • Efficient capital market: are view of theory and empirical work
    • Fama, E.F. (1970), Efficient capital market: are view of theory and empirical work, Journal of Finance, 25, 383-417.
    • (1970) Journal of Finance , vol.25 , pp. 383-417
    • Fama, E.F.1
  • 91
    • 0000029776 scopus 로고
    • Efficient capital markets:II
    • Fama, E.F. (1991), Efficient capital markets:II, Journal of Finance, 46, 1575-1617.
    • (1991) Journal of Finance , vol.46 , pp. 1575-1617
    • Fama, E.F.1
  • 92
    • 0002056097 scopus 로고
    • Dividend yields and expected returns on stock returns
    • Fama, E.F. and French, K.R. (1988), Dividend yields and expected returns on stock returns, Journal of Political Economy, 22, 3-25.
    • (1988) Journal of Political Economy , vol.22 , pp. 3-25
    • Fama, E.F.1    French, K.R.2
  • 93
    • 84977737676 scopus 로고
    • The cross-section of expected stock returns
    • Fama, E.F. and French, K.R. (1992), The cross-section of expected stock returns, Journal of Finance, 47, 427-467.
    • (1992) Journal of Finance , vol.47 , pp. 427-467
    • Fama, E.F.1    French, K.R.2
  • 96
    • 84952252413 scopus 로고
    • Business-cycle phases and their transitional dynamics
    • Filardo, A.J. (1994), Business-cycle phases and their transitional dynamics, Journal of Business & Economic Statistics, 12, 299-308.
    • (1994) Journal of Business & Economic Statistics , vol.12 , pp. 299-308
    • Filardo, A.J.1
  • 97
    • 0039162076 scopus 로고
    • Research Working Paper RWP 93-11, Federal Reserve Bank of Kansas City
    • Filardo, A.J. and Gordon, S. (1993), Business cycle durations, Research Working Paper RWP 93-11, Federal Reserve Bank of Kansas City.
    • (1993) Business cycle durations
    • Filardo, A.J.1    Gordon, S.2
  • 98
    • 84944832528 scopus 로고
    • Insider trading and market efficiency
    • Finnerty, J.E. (1976), Insider trading and market efficiency, Journal of Finance, 31, 1141-1148.
    • (1976) Journal of Finance , vol.31 , pp. 1141-1148
    • Finnerty, J.E.1
  • 101
    • 0000327579 scopus 로고
    • Long-term contracts, rational expectations, and the optimal money supply rule
    • Fischer, S. (1977), Long-term contracts, rational expectations, and the optimal money supply rule, Journal of Political Economy, 85, 191-205.
    • (1977) Journal of Political Economy , vol.85 , pp. 191-205
    • Fischer, S.1
  • 107
    • 0002135844 scopus 로고
    • The role of monetary policy
    • Friedman, M. (1968), The role of monetary policy, American Economic Review, 58, 1-17.
    • (1968) American Economic Review , vol.58 , pp. 1-17
    • Friedman, M.1
  • 108
    • 0001003115 scopus 로고
    • A theoretical framework for monetary analysis
    • Friedman, M. (1970), A theoretical framework for monetary analysis, Journal of Political Economy, 78, 193-238.
    • (1970) Journal of Political Economy , vol.78 , pp. 193-238
    • Friedman, M.1
  • 109
    • 0000738539 scopus 로고
    • Intrinsic bubbles: the case of stock prices
    • Froot, K.A. and Obstfeld, M. (1991), Intrinsic bubbles: the case of stock prices, American Economic Review, 81, 1189-1214.
    • (1991) American Economic Review , vol.81 , pp. 1189-1214
    • Froot, K.A.1    Obstfeld, M.2
  • 113
    • 84984515270 scopus 로고
    • Weak form tests of the efficiency of real estate investment markets
    • Gau, G.W. (1984), Weak form tests of the efficiency of real estate investment markets, Financial Review, 19, 301-320.
    • (1984) Financial Review , vol.19 , pp. 301-320
    • Gau, G.W.1
  • 117
    • 0001607212 scopus 로고
    • Estimating market values from appraised values without assuming an efficient market
    • Geltner, D.M. (1993b), Estimating market values from appraised values without assuming an efficient market, The Journal of Real Estate Research, 8, 325-345.
    • (1993) The Journal of Real Estate Research , vol.8 , pp. 325-345
    • Geltner, D.M.1
  • 122
    • 49149136839 scopus 로고
    • Some properties of time series data and their use in econometric model specification
    • Granger, C.W.J. (1981), Some properties of time series data and their use in econometric model specification, Journal of Econometrics, 16, 121-130.
    • (1981) Journal of Econometrics , vol.16 , pp. 121-130
    • Granger, C.W.J.1
  • 123
  • 124
    • 84981566273 scopus 로고
    • Developments in the study of cointegrated variables
    • Granger, C.W.J. (1986), Developments in the study of cointegrated variables, Oxford Bulletin of Economics and Statistics, 48(3), 213-228.
    • (1986) Oxford Bulletin of Economics and Statistics , vol.48 , Issue.3 , pp. 213-228
    • Granger, C.W.J.1
  • 125
    • 0001975872 scopus 로고
    • Multicointegration
    • in Fomby, T., and Rhodes, G.F. Jr. (eds), Spurious Regression, and Unit Roots, JAI Press, London
    • Granger, C.W.J. and Lee, T.H. (1990), Multicointegration, in Fomby, T., and Rhodes, G.F. Jr. (eds), Advances in Econometrics, vol 8: Cointegration, Spurious Regression, and Unit Roots 77-84, JAI Press, London
    • (1990) Advances in Econometrics, vol 8: Cointegration , pp. 77-84
    • Granger, C.W.J.1    Lee, T.H.2
  • 127
    • 0001188867 scopus 로고
    • On the impossibility of informationally efficient markets
    • Grossman, S.J. and Stiglitz, J.E. (1980), On the impossibility of informationally efficient markets, American Economic Review, 70, 393-408.
    • (1980) American Economic Review , vol.70 , pp. 393-408
    • Grossman, S.J.1    Stiglitz, J.E.2
  • 133
    • 0000363012 scopus 로고
    • Estimation and inference in models of cointegration: a simulation study
    • in Fomby, T.B. and Rhodes, G.F. Jr. (eds), JAT Press, Greenwich, CT
    • Hansen, B.E. and Phillips, P.C.B. (1990), Estimation and inference in models of cointegration: a simulation study, in Fomby, T.B. and Rhodes, G.F. Jr. (eds), Advances in Econometrics, vol 8:Cointegration, Spurious Regressions, and Unit Roots, 225-248, JAT Press, Greenwich, CT.
    • (1990) Advances in Econometrics, vol 8:Cointegration, Spurious Regressions, and Unit Roots , pp. 225-248
    • Hansen, B.E.1    Phillips, P.C.B.2
  • 134
    • 33751189676 scopus 로고
    • Indivisible labor and business cycle
    • Hansen, G.D. (1985), Indivisible labor and business cycle, Journal of Monetary Economics, 16, 309-327.
    • (1985) Journal of Monetary Economics , vol.16 , pp. 309-327
    • Hansen, G.D.1
  • 135
    • 0000414660 scopus 로고
    • Large sample properties of generalised method of moments estimators
    • Hansen, L.P. (1982), Large sample properties of generalised method of moments estimators, Econometrica, 50, 1029-1054.
    • (1982) Econometrica , vol.50 , pp. 1029-1054
    • Hansen, L.P.1
  • 136
    • 85017108575 scopus 로고
    • Generalised instrumental variables estimation in nonlinear rational expectations models
    • Hansen, L.P. and Singleton, K.J. (1982), Generalised instrumental variables estimation in nonlinear rational expectations models, Econometrica, 50, 1269-1286.
    • (1982) Econometrica , vol.50 , pp. 1269-1286
    • Hansen, L.P.1    Singleton, K.J.2
  • 139
    • 0002768296 scopus 로고
    • Econometric modelling of house prices in the United Kingdom
    • in Hendry, D.F. and Wallis, K.F. (eds), Basil Blackwell, Oxford
    • Hendry, D.F. (1984), Econometric modelling of house prices in the United Kingdom, in Hendry, D.F. and Wallis, K.F. (eds), Econometrics and Quantitative Economics, Basil Blackwell, Oxford.
    • (1984) Econometrics and Quantitative Economics
    • Hendry, D.F.1
  • 143
    • 0000372473 scopus 로고
    • Price performance of common stock new issues
    • Ibbotson, R.G. (1975), Price performance of common stock new issues, Journal of Financial Economics, 2, 235-272.
    • (1975) Journal of Financial Economics , vol.2 , pp. 235-272
    • Ibbotson, R.G.1
  • 146
    • 0002311906 scopus 로고
    • Efficiency with costly information: a study of mutual fund performance, 1965-84
    • Ippolito, R.A. (1989), Efficiency with costly information: a study of mutual fund performance, 1965-84, Quarterly Journal of Economics, 104, 1-23.
    • (1989) Quarterly Journal of Economics , vol.104 , pp. 1-23
    • Ippolito, R.A.1
  • 147
    • 11144323469 scopus 로고
    • Macmillan, Basingstoke, England
    • Isaac, D. (1994), Property Finance, Macmillan, Basingstoke, England.
    • (1994) Property Finance
    • Isaac, D.1
  • 148
    • 0000929855 scopus 로고
    • Special information and insider trading
    • Jaffe, J.F. (1974), Special information and insider trading, Journal of Business, 47, 410-428.
    • (1974) Journal of Business , vol.47 , pp. 410-428
    • Jaffe, J.F.1
  • 149
    • 0000486548 scopus 로고
    • The performance of mutual funds in the period 1945-64
    • Jensen, M.C. (1968), The performance of mutual funds in the period 1945-64, Journal of Finance, 23, 389-416.
    • (1968) Journal of Finance , vol.23 , pp. 389-416
    • Jensen, M.C.1
  • 150
    • 0001281632 scopus 로고
    • Some anomalous evidence regarding market efficiency
    • Jensen, M.C. (1978), Some anomalous evidence regarding market efficiency, Journal of Financial Economics, 6, 95-101.
    • (1978) Journal of Financial Economics , vol.6 , pp. 95-101
    • Jensen, M.C.1
  • 151
  • 152
    • 84981579311 scopus 로고
    • Maximum likelihood estimation and inference on cointegration -with applications to the demand for money
    • Johansen, S. and Juselius, K. (1990), Maximum likelihood estimation and inference on cointegration -with applications to the demand for money, Oxford Bulletin of Economics and Statistics, 52, 169-210.
    • (1990) Oxford Bulletin of Economics and Statistics , vol.52 , pp. 169-210
    • Johansen, S.1    Juselius, K.2
  • 153
    • 44049117018 scopus 로고
    • Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
    • Johansen, S. and Juselius, K. (1992), Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK, Journal of Econometrics, 53, 211-244.
    • (1992) Journal of Econometrics , vol.53 , pp. 211-244
    • Johansen, S.1    Juselius, K.2
  • 154
    • 0001561453 scopus 로고
    • Investor evaluation of accounting information: some empirical evidence
    • Kaplan, R.S. and Roll, R. (1972), Investor evaluation of accounting information: some empirical evidence, Journal of Business, 45, 225-257.
    • (1972) Journal of Business , vol.45 , pp. 225-257
    • Kaplan, R.S.1    Roll, R.2
  • 155
    • 0001307148 scopus 로고
    • Sources of business cycles in Europe 1960-1988: evidence from France, Germany, and the United Kingdom
    • Karras, G. (1994), Sources of business cycles in Europe 1960-1988: evidence from France, Germany, and the United Kingdom, European Economic Review, 38, 1763-1778.
    • (1994) European Economic Review , vol.38 , pp. 1763-1778
    • Karras, G.1
  • 156
    • 0003253985 scopus 로고
    • Use and investment markets in British real estate
    • Keogh, G. (1994), Use and investment markets in British real estate, Journal of Property Valuation & Investment, 12, 58-74.
    • (1994) Journal of Property Valuation & Investment , vol.12 , pp. 58-74
    • Keogh, G.1
  • 158
    • 84905929499 scopus 로고
    • paper presented at RICS Conference -'Property in the Overall Economy', April, London
    • Key, T. and Nanthakumaran, N. (1993), Economic cycles and property cycles, paper presented at RICS Conference -'Property in the Overall Economy', April, London.
    • (1993) Economic cycles and property cycles
    • Key, T.1    Nanthakumaran, N.2
  • 161
    • 0000688290 scopus 로고
    • Money, credit, and prices in a real business cycle
    • King, R.G. and Plosser, C.I. (1984), Money, credit, and prices in a real business cycle, American Economic Review, 74, 363-380.
    • (1984) American Economic Review , vol.74 , pp. 363-380
    • King, R.G.1    Plosser, C.I.2
  • 163
    • 15244363192 scopus 로고
    • Production, growth, and business cycles: I. the basic neoclassical model
    • King, R.G., Plosser, C.I., and Rebelo, S.T. (1988), Production, growth, and business cycles: I. the basic neoclassical model, Journal of Monetary Economics, 21, 195-232.
    • (1988) Journal of Monetary Economics , vol.21 , pp. 195-232
    • King, R.G.1    Plosser, C.I.2    Rebelo, S.T.3
  • 165
    • 0000643498 scopus 로고
    • Rules rather than discretion: the inconsistency of optimal plans
    • Kydland, F.E. and Prescott, E.C. (1977), Rules rather than discretion: the inconsistency of optimal plans, Journal of Political Economy, 85, 473-491.
    • (1977) Journal of Political Economy , vol.85 , pp. 473-491
    • Kydland, F.E.1    Prescott, E.C.2
  • 166
    • 0001519332 scopus 로고
    • Time to build and aggregate fluctuations
    • Kydland, F.E. and Prescott, E.C. (1982), Time to build and aggregate fluctuations, Econometrica, 50, 1345-1370.
    • (1982) Econometrica , vol.50 , pp. 1345-1370
    • Kydland, F.E.1    Prescott, E.C.2
  • 168
    • 48749147730 scopus 로고
    • Size related anomalies and stock return seasonality
    • Kleim, D.B. (1988), Size related anomalies and stock return seasonality, Journal of Financial Economics, 12, 13-32.
    • (1988) Journal of Financial Economics , vol.12 , pp. 13-32
    • Kleim, D.B.1
  • 169
    • 0000277728 scopus 로고
    • Are seasonal anomalies real?: a ninety year perspective
    • Lakonishok, J. and Smidt, S. (1988), Are seasonal anomalies real?: a ninety year perspective, Review of Financial Studies, 1, 435-445.
    • (1988) Review of Financial Studies , vol.1 , pp. 435-445
    • Lakonishok, J.1    Smidt, S.2
  • 170
    • 49049124683 scopus 로고
    • Rational expectations, supply shocks and the stability of the inflation-output tradeoff: some time series evidence for the United Kingdom, 1957-1977
    • Lawrence, C. (1983), Rational expectations, supply shocks and the stability of the inflation-output tradeoff: some time series evidence for the United Kingdom, 1957-1977, Journal of Monetary Economics, 11, 225-245.
    • (1983) Journal of Monetary Economics , vol.11 , pp. 225-245
    • Lawrence, C.1
  • 171
    • 84981677092 scopus 로고
    • Stock-flow relationships in US housing construction
    • Lee, T.H. (1992), Stock-flow relationships in US housing construction, Oxford Bulletin of Economics and Statistics, 53, 419-430.
    • (1992) Oxford Bulletin of Economics and Statistics , vol.53 , pp. 419-430
    • Lee, T.H.1
  • 172
    • 0001090096 scopus 로고
    • Economic forecast evaluation: profits versus the conventional error measures
    • Leitch, G. and Tanner, J.E. (1991), Economic forecast evaluation: profits versus the conventional error measures, American Economic Review, 81, 580-590.
    • (1991) American Economic Review , vol.81 , pp. 580-590
    • Leitch, G.1    Tanner, J.E.2
  • 173
    • 0001052696 scopus 로고
    • Aggregation and simple dynamics
    • Lewbel, A. (1994), Aggregation and simple dynamics, American Economic Review, 84, 905-918.
    • (1994) American Economic Review , vol.84 , pp. 905-918
    • Lewbel, A.1
  • 174
    • 38249038928 scopus 로고
    • An empirical test of the efficiency of the housing market
    • Linneman, P. (1986), An empirical test of the efficiency of the housing market, Journal of Urban Economics, 20, 140-154.
    • (1986) Journal of Urban Economics , vol.20 , pp. 140-154
    • Linneman, P.1
  • 175
    • 0000318562 scopus 로고
    • The dynamic effects of aggregate demand and supply disturbances: comment
    • Lippi, M. and Reichlin, L. (1993), The dynamic effects of aggregate demand and supply disturbances: comment, American Economic Review, 83, 644-652.
    • (1993) American Economic Review , vol.83 , pp. 644-652
    • Lippi, M.1    Reichlin, L.2
  • 176
    • 84963044471 scopus 로고
    • Diffusion of technical changes and the decomposition of output into trend and cycle
    • Lippi, M. and Reichlin, L. (1994a), Diffusion of technical changes and the decomposition of output into trend and cycle, Review of Economic Studies, 61, 19-31.
    • (1994) Review of Economic Studies , vol.61 , pp. 19-31
    • Lippi, M.1    Reichlin, L.2
  • 177
    • 38149146743 scopus 로고
    • Common and uncommon trends and cycles
    • Lippi, M. and Reichlin, L. (1994b), Common and uncommon trends and cycles, European Economic Review, 38, 624-635.
    • (1994) European Economic Review , vol.38 , pp. 624-635
    • Lippi, M.1    Reichlin, L.2
  • 179
    • 0010944966 scopus 로고
    • An analysis of real-estate risk using the present value model
    • Liu, C.H. and Mei, J. (1994), An analysis of real-estate risk using the present value model, Journal of Real Estate Finance and Economics, 8, 5-20.
    • (1994) Journal of Real Estate Finance and Economics , vol.8 , pp. 5-20
    • Liu, C.H.1    Mei, J.2
  • 180
  • 181
    • 0031527382 scopus 로고    scopus 로고
    • Interaction between property and equity markets: an investigation of linkages in the UK 1972-1992
    • Lizieri, C. and Satchell, S. (1997), Interaction between property and equity markets: an investigation of linkages in the UK 1972-1992, Journal of Real Estate Finance and Economics, 15, 11-26
    • (1997) Journal of Real Estate Finance and Economics , vol.15 , pp. 11-26
    • Lizieri, C.1    Satchell, S.2
  • 185
    • 0000386487 scopus 로고
    • Sectoral vs. aggregate shocks in the business cycle
    • Long, J.B. and Plosser, C.I. (1987), Sectoral vs. aggregate shocks in the business cycle, American Economic Review, 77, 333-336.
    • (1987) American Economic Review , vol.77 , pp. 333-336
    • Long, J.B.1    Plosser, C.I.2
  • 187
    • 49649131398 scopus 로고
    • Expectations and the neutrality of money
    • Lucas, R.E. Jr. (1972) Expectations and the neutrality of money, Journal of Economic Theory, 4, 103-124.
    • (1972) Journal of Economic Theory , vol.4 , pp. 103-124
    • Lucas Jr., R.E.1
  • 188
    • 80052036526 scopus 로고
    • An equilibrium model of the business cycle
    • Lucas, R.E. Jr. (1975), An equilibrium model of the business cycle, Journal of Political Economy, 83, 1113-1144.
    • (1975) Journal of Political Economy , vol.83 , pp. 1113-1144
    • Lucas Jr., R.E.1
  • 189
    • 0042341336 scopus 로고
    • Understanding business cycles
    • in, Carnegie-Rochester Conference Series on Public Policy 1, North-Holland, Amsterdam
    • Lucas, R.E. Jr. (1977), Understanding business cycles, in Stabilization of The Domestic and International Economy, 7-29. Carnegie-Rochester Conference Series on Public Policy 1, North-Holland, Amsterdam.
    • (1977) Stabilization of The Domestic and International Economy , pp. 7-29
    • Lucas Jr., R.E.1
  • 190
    • 0000150312 scopus 로고
    • Asse tprice si na nexchang eeconomy
    • Lucas, R.E. Jr. (1978), Asse tprice si na nexchang eeconomy, Econometrica, 46, 1429-1445.
    • (1978) Econometrica , vol.46 , pp. 1429-1445
    • Lucas Jr., R.E.1
  • 192
  • 195
    • 84945599618 scopus 로고
    • The allocation of property in the multi-asset portfolio: the evidence and theory reconsidered
    • MacGregor, B.D. and Nanthakumaran, N. (1992), The allocation of property in the multi-asset portfolio: the evidence and theory reconsidered, Journal of Property Research, 9, 55-32.
    • (1992) Journal of Property Research , vol.9 , pp. 55-32
    • MacGregor, B.D.1    Nanthakumaran, N.2
  • 196
    • 0000139990 scopus 로고
    • Commercial property market prices and valuations: analysing the correspondence
    • Matysiak, G. and Wang, P. (1995), Commercial property market prices and valuations: analysing the correspondence, Journal of Property Research, 12, 181-202.
    • (1995) Journal of Property Research , vol.12 , pp. 181-202
    • Matysiak, G.1    Wang, P.2
  • 197
    • 0001799882 scopus 로고
    • Rational expectations and the natural rate hypothesis: some consistent estimates
    • McCallum, B.T. (1976), Rational expectations and the natural rate hypothesis: some consistent estimates, Econometrica, 44, 43-52.
    • (1976) Econometrica , vol.44 , pp. 43-52
    • McCallum, B.T.1
  • 198
    • 0009248177 scopus 로고
    • Price-level stickiness and the feasibility of monetary stabilization policy with rational expectations
    • McCallum, B.T. (1977), Price-level stickiness and the feasibility of monetary stabilization policy with rational expectations, Journal of Political Economy, 85, 627-634.
    • (1977) Journal of Political Economy , vol.85 , pp. 627-634
    • McCallum, B.T.1
  • 199
    • 0000777329 scopus 로고
    • Rational expectations and macroeconomic stabilization policy: an overview
    • McCallum, B.T. (1980), Rational expectations and macroeconomic stabilization policy: an overview, Journal of Money, Credit and Banking, 12, 716-746.
    • (1980) Journal of Money, Credit and Banking , vol.12 , pp. 716-746
    • McCallum, B.T.1
  • 202
    • 0009890716 scopus 로고
    • New classical macroeconomics: a sympathetic account
    • McCallum, B.T. (1989b), New classical macroeconomics: a sympathetic account, Scandinavian Journal of Economics, 91, 223-252.
    • (1989) Scandinavian Journal of Economics , vol.91 , pp. 223-252
    • McCallum, B.T.1
  • 203
    • 0002565814 scopus 로고
    • Real business cycle models
    • in Barro, R.J. (ed), Basil Blackwell, Oxford, and Harvard University Press
    • McCallum, B.T. (1989c), Real business cycle models, in Barro, R.J. (ed), Modern Business Cycle Theory, Basil Blackwell, Oxford, and Harvard University Press.
    • (1989) Modern Business Cycle Theory
    • McCallum, B.T.1
  • 209
  • 210
  • 211
    • 84947407492 scopus 로고
    • Optimal properties of exponentially weighted forecasts
    • Muth, J.F. (1960), Optimal properties of exponentially weighted forecasts, Journal of the American Statistical Association, 55, 299-306.
    • (1960) Journal of the American Statistical Association , vol.55 , pp. 299-306
    • Muth, J.F.1
  • 212
    • 0001281286 scopus 로고
    • Rational expectations and the theory of price movements
    • Muth, J.F. (1961), Rational expectations and the theory of price movements, Econometrica, 29, 315-335.
    • (1961) Econometrica , vol.29 , pp. 315-335
    • Muth, J.F.1
  • 213
    • 49049143455 scopus 로고
    • Trends and random walks in macroeconomic time series:some evidence and implications
    • Nelson,C.R. and Plosser, C.I. (1982), Trends and random walks in macroeconomic time series:some evidence and implications, Journal of Monetary Economics, 10, 139-162.
    • (1982) Journal of Monetary Economics , vol.10 , pp. 139-162
    • Nelson, C.R.1    Plosser, C.I.2
  • 214
    • 38249017291 scopus 로고
    • Precise and efficient computation of the Beveridge-Nelson decomposition of economic time series
    • Newbold, P. (1990), Precise and efficient computation of the Beveridge-Nelson decomposition of economic time series, Journal of Monetary Economics, 26, 453-457.
    • (1990) Journal of Monetary Economics , vol.26 , pp. 453-457
    • Newbold, P.1
  • 216
    • 0000631178 scopus 로고
    • A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics
    • Osterwald-Lenum, M. (1992), A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics, Oxford Bulletin of Economics and Statistics, 54, 461-472.
    • (1992) Oxford Bulletin of Economics and Statistics , vol.54 , pp. 461-472
    • Osterwald-Lenum, M.1
  • 217
    • 27644580196 scopus 로고
    • Trends and random walks in macroeconomic time series: further evidence from a new approach
    • Perron, P. (1988), Trends and random walks in macroeconomic time series: further evidence from a new approach, Journal of Economic Dynamics and Control, 12, 297-332.
    • (1988) Journal of Economic Dynamics and Control , vol.12 , pp. 297-332
    • Perron, P.1
  • 218
    • 0000899296 scopus 로고
    • The great crash, the oil price shock, and the unit root hypothesis
    • Perron, P. (1989), The great crash, the oil price shock, and the unit root hypothesis, Econometrica, 57, 1361-1401.
    • (1989) Econometrica , vol.57 , pp. 1361-1401
    • Perron, P.1
  • 219
    • 0000867368 scopus 로고
    • Trend, unit root and structural change in macroeconomic time series
    • in Rao, B.B. ed., St. Martin's Press, NewYork and Macmillan Press, London
    • Perron, P. (1994), Trend, unit root and structural change in macroeconomic time series, in Rao, B.B. ed., Cointegration for the Applied Economist. St. Martin's Press, NewYork and Macmillan Press, London, 113-146.
    • (1994) Cointegration for the Applied Economist , pp. 113-146
    • Perron, P.1
  • 220
    • 8644285682 scopus 로고
    • Persistence, cointegration and aggregation: a disaggregated analysis of output fluctuations in the US economy
    • Pesaran, M.H., Pierse, R.G. and Lee, K.C., (1993), Persistence, cointegration and aggregation: a disaggregated analysis of output fluctuations in the US economy, Journal of Econometrics, 56, 67-88.
    • (1993) Journal of Econometrics , vol.56 , pp. 67-88
    • Pesaran, M.H.1    Pierse, R.G.2    Lee, K.C.3
  • 222
    • 84959818799 scopus 로고
    • Statistical inference in instrumental variables regression with I(1) processes
    • Phillips, P.C.B. and Hansen, B.E. (1990), Statistical inference in instrumental variables regression with I(1) processes, Review of Economic Studies, 57(1), 99-125.
    • (1990) Review of Economic Studies , vol.57 , Issue.1 , pp. 99-125
    • Phillips, P.C.B.1    Hansen, B.E.2
  • 226
    • 0041471062 scopus 로고
    • Price formation and the appraisal function in real estate markets
    • Quah, D. (1991), Price formation and the appraisal function in real estate markets, Journal of Real Estate Finance and Economics, 4, 127-146.
    • (1991) Journal of Real Estate Finance and Economics , vol.4 , pp. 127-146
    • Quah, D.1
  • 227
    • 0008220388 scopus 로고
    • One business cycle and one trend from (many,) many disaggregates
    • Quah, D. (1994), One business cycle and one trend from (many,) many disaggregates, European Economic Review, 38, 605-613.
    • (1994) European Economic Review , vol.38 , pp. 605-613
    • Quah, D.1
  • 229
  • 231
    • 48749146127 scopus 로고
    • The anomalous stock market behaviour of small firms in January
    • Reinganum, M.R. (1983), The anomalous stock market behaviour of small firms in January, Journal of Financial Economics, 12, 89-104.
    • (1983) Journal of Financial Economics , vol.12 , pp. 89-104
    • Reinganum, M.R.1
  • 232
    • 84977722617 scopus 로고
    • The buying and selling behaviour of individual investors at the turn of the year
    • Ritter, J.R. (1988), The buying and selling behaviour of individual investors at the turn of the year, Journal of Finance, 43, 701-717.
    • (1988) Journal of Finance , vol.43 , pp. 701-717
    • Ritter, J.R.1
  • 233
    • 49549135545 scopus 로고
    • The arbitrage theory of capital asset pricing
    • Ross, S.A. (1976), The arbitrage theory of capital asset pricing, Journal of Economic Theory, 13, 341-360.
    • (1976) Journal of Economic Theory , vol.13 , pp. 341-360
    • Ross, S.A.1
  • 235
    • 0001225657 scopus 로고
    • Time to build and aggregate fluctuations: a reconsideration
    • Rouwenhorst, K.G. (1991), Time to build and aggregate fluctuations: a reconsideration, Journal of Monetary Economics, 27, 241-254.
    • (1991) Journal of Monetary Economics , vol.27 , pp. 241-254
    • Rouwenhorst, K.G.1
  • 236
    • 0003826492 scopus 로고
    • Royal Institution of Chartered Surveyors, London
    • Royal Institution of Chartered Surveyors (1994), Understanding the Property Cycle, London.
    • (1994) Understanding the Property Cycle
  • 237
    • 0000037307 scopus 로고
    • The strong case for the generalized logarithmic utility model as the premier model of financial markets
    • Rubinstein, M. (1976), The strong case for the generalized logarithmic utility model as the premier model of financial markets, Journal of Finance, 31, 551-571.
    • (1976) Journal of Finance , vol.31 , pp. 551-571
    • Rubinstein, M.1
  • 238
    • 0004234886 scopus 로고
    • (2nd ed), Academic Press Inc, Orlando, Florida
    • Sargent, T.J. (1987), Macroeconomic Theory (2nd ed), Academic Press Inc, Orlando, Florida.
    • (1987) Macroeconomic Theory
    • Sargent, T.J.1
  • 239
    • 0040184697 scopus 로고
    • The elasticity of substitution and cyclical behavior of productivity, wages, and labor's share
    • Sargent, T.J. and Wallace, N. (1974), The elasticity of substitution and cyclical behavior of productivity, wages, and labor's share, American Economic Review, 64, 257-263.
    • (1974) American Economic Review , vol.64 , pp. 257-263
    • Sargent, T.J.1    Wallace, N.2
  • 240
    • 0001527610 scopus 로고
    • "Rational" expectations, the optimal monetary instrument, and the optimal money supply rule
    • Sargent, T.J. and Wallace, N. (1975), "Rational" expectations, the optimal monetary instrument, and the optimal money supply rule, Journal of Political Economy, 83, 241-254.
    • (1975) Journal of Political Economy , vol.83 , pp. 241-254
    • Sargent, T.J.1    Wallace, N.2
  • 241
    • 0000684253 scopus 로고
    • Rational expectations and the theory of economic policy
    • Sargent, T.J. and Wallace, N. (1976), Rational expectations and the theory of economic policy, Journal of Monetary Economics, 2, 169-183.
    • (1976) Journal of Monetary Economics , vol.2 , pp. 169-183
    • Sargent, T.J.1    Wallace, N.2
  • 242
    • 0001347325 scopus 로고
    • Tests of exchange market efficiency: fragile evidence from cointegration tests
    • Sephton, P.S. and Larsen, H.K. (1991), Tests of exchange market efficiency: fragile evidence from cointegration tests, Journal of International Money and Finance, 10, 561-570.
    • (1991) Journal of International Money and Finance , vol.10 , pp. 561-570
    • Sephton, P.S.1    Larsen, H.K.2
  • 243
    • 38249038899 scopus 로고
    • Insiders' profits, costs of trading, and market efficiency
    • Seyhun, H.N. (1986), Insiders' profits, costs of trading, and market efficiency, Journal of Financial Economics, 16, 189-212.
    • (1986) Journal of Financial Economics , vol.16 , pp. 189-212
    • Seyhun, H.N.1
  • 244
    • 0000716243 scopus 로고
    • Are cyclical fluctuations in productivity due more to supply shocks or demand shocks?
    • Shapiro, M.D. (1987), Are cyclical fluctuations in productivity due more to supply shocks or demand shocks? American Economic Review, 77, 118-124.
    • (1987) American Economic Review , vol.77 , pp. 118-124
    • Shapiro, M.D.1
  • 247
    • 21144466881 scopus 로고
    • Measurement error in FRC/NCREIF returns on real estate
    • Shilling, J.D. (1993), Measurement error in FRC/NCREIF returns on real estate, Southern Economic Journal, 60, 210-219.
    • (1993) Southern Economic Journal , vol.60 , pp. 210-219
    • Shilling, J.D.1
  • 249
    • 0001721508 scopus 로고
    • Comparison of interwar and postwar business cycles: monetarism reconsidered
    • Sims, C.A. (1980), Comparison of interwar and postwar business cycles: monetarism reconsidered, American Economic Review, 70 (Papers and Proceedings), 250-257.
    • (1980) American Economic Review , vol.70 , Issue.PAPERS AND PROCEEDINGS , pp. 250-257
    • Sims, C.A.1
  • 250
  • 251
    • 38249030722 scopus 로고
    • Econometric issues in the analysis of equilibrium business cycle models
    • Singleton, K.J. (1988), Econometric issues in the analysis of equilibrium business cycle models, Journal of Monetary Economics, 21, 361-386.
    • (1988) Journal of Monetary Economics , vol.21 , pp. 361-386
    • Singleton, K.J.1
  • 253
    • 84905938120 scopus 로고
    • Society of Property Researchers, Society of Property Researchers Technical Paper No 1
    • Society of Property Researchers, (1994), Property indices research report, Society of Property Researchers Technical Paper No 1.
    • (1994) Property indices research report
  • 254
    • 0000500639 scopus 로고
    • Technical change and the aggregate production function
    • Solow, R. M. (1957), Technical change and the aggregate production function, Review of Economics and Statistics, 39, 312-320.
    • (1957) Review of Economics and Statistics , vol.39 , pp. 312-320
    • Solow, R.M.1
  • 256
    • 0000246372 scopus 로고
    • Interpreting the evidence on money-income causality
    • Stock, J.H. and Watson, M.W. (1989), Interpreting the evidence on money-income causality, Journal of Econometrics, 40, 161-81.
    • (1989) Journal of Econometrics , vol.40 , pp. 161-181
    • Stock, J.H.1    Watson, M.W.2
  • 258
    • 84905953511 scopus 로고
    • Transformation of an American insurance company from 'the widows and orphans friendly society'to a large landlord/developer/investment advisor
    • Dublin, Ireland
    • Strum, B.J. (1991), Transformation of an American insurance company from 'the widows and orphans friendly society'to a large landlord/developer/investment advisor, Proceedings of the Conference of the Anglo-American Real Property Institute 1991, Dublin, Ireland.
    • (1991) Proceedings of the Conference of the Anglo-American Real Property Institute 1991
    • Strum, B.J.1
  • 260
    • 0141463888 scopus 로고
    • Evidence on the existence of speculative bubbles in farmland prices
    • Tegene, A. and Kuchler, F.R. (1993), Evidence on the existence of speculative bubbles in farmland prices, Journal of Real Estate Finance and Economics, 6, 223-236.
    • (1993) Journal of Real Estate Finance and Economics , vol.6 , pp. 223-236
    • Tegene, A.1    Kuchler, F.R.2
  • 261
    • 84983874533 scopus 로고
    • Cointegration tests of present value models with a time varying discount factor
    • Timmermann, A. (1995), Cointegration tests of present value models with a time varying discount factor, Journal of Applied Econometrics, 10, 17-31.
    • (1995) Journal of Applied Econometrics , vol.10 , pp. 17-31
    • Timmermann, A.1
  • 262
    • 0003065599 scopus 로고
    • An econometric model of retail rents in the United Kingdom
    • Tsolacos, S. (1995), An econometric model of retail rents in the United Kingdom, Journal of Real Estate Research, 10, 519-529.
    • (1995) Journal of Real Estate Research , vol.10 , pp. 519-529
    • Tsolacos, S.1
  • 266
    • 84905951178 scopus 로고
    • Smoothing in property return indices and its effects on diversification and portfolio allocation
    • Wang, P. (1995a), Smoothing in property return indices and its effects on diversification and portfolio allocation, Journal of Real Estate and Construction,5, 27-46.
    • (1995) Journal of Real Estate and Construction , vol.5 , pp. 27-46
    • Wang, P.1
  • 267
    • 84982462190 scopus 로고
    • Joint test for functional forms and heteroscedasticity with property sales and valuation data
    • Wang, P. (1995b), Joint test for functional forms and heteroscedasticity with property sales and valuation data, Applied Stochastic Models and Data Analysis, 11, 315-321.
    • (1995) Applied Stochastic Models and Data Analysis , vol.11 , pp. 315-321
    • Wang, P.1
  • 268
    • 0042581718 scopus 로고
    • How do UK regional commercial rents move?
    • Wang, P. and Matysiak, G. (1994), How do UK regional commercial rents move?, Applied Economics Letters, 1, 19-23.
    • (1994) Applied Economics Letters , vol.1 , pp. 19-23
    • Wang, P.1    Matysiak, G.2
  • 269
    • 84905933190 scopus 로고
    • The 10th American Real Estate Society Annual Meeting, Santa Barbara, California
    • Wang, P., Lizieri, C. and Matysiak (1994), How much should we invest in property? The 10th American Real Estate Society Annual Meeting, Santa Barbara, California.
    • (1994) How much should we invest in property?
    • Wang, P.1    Lizieri, C.2    Matysiak3
  • 270
    • 0001008370 scopus 로고    scopus 로고
    • Information asymmetry, long run relationship and price discovery in property investment markets
    • Wang, P., Lizieri, C. and Matysiak (1997), Information asymmetry, long run relationship and price discovery in property investment markets, The European Journal of Finance, 3, 261-275.
    • (1997) The European Journal of Finance , vol.3 , pp. 261-275
    • Wang, P.1    Lizieri, C.2    Matysiak3
  • 271
    • 0002980380 scopus 로고
    • Univariate detrending methods with stochastic trends
    • Watson, M.M. (1986), Univariate detrending methods with stochastic trends, Journal of Monetary Economics, 18, 49-75.
    • (1986) Journal of Monetary Economics , vol.18 , pp. 49-75
    • Watson, M.M.1
  • 272
    • 0028595842 scopus 로고
    • Business-cycle durations and postwar stabilization of the U.S. economy
    • Watson, M.M. (1994), Business-cycle durations and postwar stabilization of the U.S. economy, American Economic Review, 84, 24-46.
    • (1994) American Economic Review , vol.84 , pp. 24-46
    • Watson, M.M.1
  • 274
    • 0001210479 scopus 로고
    • A specification test for speculative bubbles
    • West, K.D. (1987), A specification test for speculative bubbles, Quarterly Journal of Economics, 102, 553-580.
    • (1987) Quarterly Journal of Economics , vol.102 , pp. 553-580
    • West, K.D.1
  • 275
    • 84934453132 scopus 로고
    • Vacancy, search, and prices in a housing market matching model
    • Wheaton, W.C. (1990), Vacancy, search, and prices in a housing market matching model, Journal of Political Economy, 98, 1270-1292.
    • (1990) Journal of Political Economy , vol.98 , pp. 1270-1292
    • Wheaton, W.C.1
  • 278
    • 0000304809 scopus 로고
    • Note on the correlation of first differences of averages in a random chain
    • Working, H. (1960) Note on the correlation of first differences of averages in a random chain, Econometrica, 28, 916-918.
    • (1960) Econometrica , vol.28 , pp. 916-918
    • Working, H.1
  • 280
    • 0039252496 scopus 로고
    • Buyers' and sellers' markets: A simple rational expectations search model of the housing market
    • Zorn, T.S. and Sackley, W.H. (1991), Buyers' and sellers' markets: A simple rational expectations search model of the housing market, Journal of Real Estate Finance and Economics, 4, 315-326.
    • (1991) Journal of Real Estate Finance and Economics , vol.4 , pp. 315-326
    • Zorn, T.S.1    Sackley, W.H.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.