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Applied Economics Letters Volume 10, 2003 - Issue 11
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Original Articles

Shocks to macroeconomic state variables and the risk premium of REITs

James E. Payne Department of Economics, Illinois State University, Normal, IL 61790-4200, USA E-mail: [email protected]
Pages 671-677 | Published online: 04 Jun 2010

Citations (19)

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Read on this site (4)

I-Chun Tsai, Tien Foo Sing, Ming-Chi Chen & Tai Ma. (2012) The structure of REIT-beta. Applied Financial Economics 22:10, pages 827-836.
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Shu-Hsien Chen, Ming-Shu Hua & Richard Stuetz. (2008) Measuring country event risk compensation on BRICs international portfolio management. Applied Economics 40:5, pages 657-665.
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Chikashi Tsuji. (2007) What macro-innovation risks really are priced in Japan?. Applied Financial Economics 17:13, pages 1085-1099.
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James E. Payne. (2006) The response of sub-sector REIT returns to shocks in fundamental state variables. Applied Financial Economics Letters 2:2, pages 71-75.
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Articles from other publishers (15)

Yousong Wang, Enqin Gong, Yangbing Zhang, Yao Yao & Xiaowei Zhou. (2023) Risk assessment of infrastructure REITs projects based on cloud model: a case study of China. Engineering, Construction and Architectural Management.
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Sercan Demiralay & Erhan Kilincarslan. (2022) Uncertainty Measures and Sector-Specific REITs in a Regime-Switching Environment. The Journal of Real Estate Finance and Economics.
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Peterson Owusu Junior, George Tweneboah, Kola Ijasan & Nagaratnam Jeyasreedharan. (2019) Modelling return behaviour of global real estate investment trusts equities. Journal of European Real Estate Research 12:3, pages 311-328.
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Katlego Kola & Odongo Kodongo. (2017) Macroeconomic risks and REITs returns: A comparative analysis. Research in International Business and Finance 42, pages 1228-1243.
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Levon Goukasian, Qingzhong Ma & Mehdi Majbouri. (2012) The Monetary Policy Risks of Hospitality Stocks. Cornell Hospitality Quarterly 53:4, pages 339-346.
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Martin Hoesli & Elias Oikarinen. (2012) Are REITs real estate? Evidence from international sector level data. Journal of International Money and Finance 31:7, pages 1823-1850.
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Camilo Serrano & Martin Hoesli. (2010) Fractional Cointegration Analysis of Securitized Real Estate. The Journal of Real Estate Finance and Economics 44:3, pages 319-338.
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Shyh-Wei Chen & Chung-Hua Shen. (2012) Examining the stochastic behavior of REIT returns: Evidence from the regime switching approach. Economic Modelling 29:2, pages 291-298.
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Levon Goukasian & Mehdi Majbouri. (2010) The Reaction of Real Estate-Related Industries to the Monetary Policy Actions. Real Estate Economics 38:2, pages 355-398.
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Crystal Yan Lin, Hamid Rahman & Kenneth Yung. (2008) Investor Sentiment and REIT Returns. The Journal of Real Estate Finance and Economics 39:4, pages 450-471.
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J.W. Kim, D.J. Leatham & D.A. Bessler. (2007) REITs’ dynamics under structural change with unknown break points. Journal of Housing Economics 16:1, pages 37-58.
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Vichet Sum. (2013) Commercial Real Estate Loan Delinquency and Real Estate Market Performance. SSRN Electronic Journal.
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Martin Hoesli & Elias Oikarinen. (2012) Are REITs Real Estate? Evidence from International Sector Level Data. SSRN Electronic Journal.
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Vitor Leone. (2010) From Property Companies to Real Estate Investment Trusts: The Impact of Economic and Property Factors in the UK Commercial Property Returns. SSRN Electronic Journal.
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Camilo Serrano & Martin Hoesli. (2009) Fractional Cointegration Analysis of Securitized Real Estate. SSRN Electronic Journal.
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