The Fractal Structure of Real Estate Investment Trust Returns: The Search for Evidence of Market Segmentation and Nonlinear Dependency

Real Estate Economics

Volumn 20, Issue 1, 1992, Pages 25-54

  Ambrose, Brent W ^a,b   Ancel, Esther ^a   Griffiths, Mark D ^a  

^a UNIVERSITY OF WISCONSIN MILWAUKEE   (United States)

^b Special Needs Assistance Program   (United States)

Author keywords

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Indexed keywords

EID: 84983980240     PISSN: 10808620     EISSN: 15406229     Source Type: Journal    
DOI: 10.1111/1540-6229.00571     Document Type: Article

References (51)

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2. On Measuring Skewness and Elongation in Common Stock Return Distributions: The Case of the Market Index
3. Distinguishing Random and Deterministic Systems: Abridged Version
4. The Performance of Portfolios of REITs +Stocks
5. Risk and Return on Real Estate: Evidence from Equity REITs
6. Seasonality and Size Effects: The Case of Real Estate Related Investment
7. Real Estate Returns, Money and Fiscal Deficits: Is the Real Estate Market Efficient?
8. Capital Asset Pricing and Real Estate Valuation
9. The Behavior of Stock Prices
10. Efficient Capital Markets: A Review of Theory and Empirical Work
11. Efficient Capital Markets: II
12. Risk, Return and Equilibrium: Empirical Tests
13. Tests of Market Efficiency of the Chicago Board Options Exchange
14. Return Risk and Cash Flow Risk with Long‐Term Riskless Leases in Commercial Real Estate
15. Equity Real Estate Investment Trusts and Real Estate Returns
16. Hedonic Prices, Price Indices and Housing Markets
17. Housing Submarkets Within Urban Areas: Definitions and Evidence
18. A Survey of Empirical Studies on Capital Markets
19. Long‐Term Dependence In Common Stock Returns
20. Owner‐Occupied Homes, Income‐Producing Properties, and REITs as Inflation Hedges: Empirical Findings
21. Refining the Analysis of Regional Diversification for Income‐Producing Real Estate
22. Evidence of Non‐Linearity in Daily Stock Returns
23. REIT Advisor Performance
24. Long Term Storage Capacity of Reservoirs
25. Integration vs. Segmentation in the Canadian Stock Market
26. The Impact of Market Imperfections on Real Estate Returns and Optimal Investment Portfolios
27. The Integration of the Real Estate Market and the Stock Market: Some Preliminary Evidence
28. Some Log‐Run Properties Of Geophysical Records
29. Capital Structure and the Cost of Capital for Untaxed Firms: The Case of REITS
30. A Comparison of the Recent Performance of Publicly Traded Real Property Portfolios and Common Stock
31. An Examination of the Small‐Firm Effect within the REIT Industry
32. A Different Look at Commercial Real Estate Returns
33. On the Use of Grouping Methods in the Analysis of Residential Housing Markets
34. Risk and Return in Real Estate
35. When Random Is Not Random: An Introduction to Chaos in Market Prices
36. Nonlinearities and Chaotic Effects in Options Prices
37. Nonlinear Dynamics and Stock Returns
38. Segmentation in Urban Housing Markets
39. Do Prices Reflect Market Fundamentals in Real Estate Markets?
40. Hedonic Estimation of Housing Market Prices: A Further Comment
41. Risk and the Performance of Real Estate Investment Trusts: A Multiple Index Approach
42. Small Sample Properties of H and K Estimators of the Hurst Coefficient H