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Financial Analysts Journal Volume 53, 1997 - Issue 3
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FEATURE ARTICLES

Commercial Real Estate Prices and Stock Market Returns: An International Analysis

Daniel C. Quan Daniel C. Quan is an assistant professor of real estate and finance in the Department of Finance at the University of Texas at Austin.
&
Sheridan Titman Sheridan Titman is a professor of finance in the Department of Finance at the University of Texas at Austin.
Pages 21-34 | Published online: 02 Jan 2019

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Arianna Agosto & Daniel Felix Ahelegbey. (2022) Default count-based network models for credit contagion. Journal of the Operational Research Society 73:1, pages 139-152.
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Ming-Chu Chiang, Tien Foo Sing & Long Wang. (2020) Interactions Between Housing Market and Stock Market in the United States: A Markov Switching Approach. Journal of Real Estate Research 42:4, pages 552-571.
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Olusegun O. Olanrele, Oluwatosin B. Fateye, Tomisi O. Adegunle, C. A Ajayi, Rosli Said & Kurannen Baaki. (2020) Causal effects of macroeconomic predictors on real estate investment trust’s (REIT’s) performance in Nigeria. Pacific Rim Property Research Journal 26:2, pages 149-171.
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Mariko Kimura, Christopher Heywood & Kimberly Winson-Geideman. (2019) The effect of firm characteristics on the prime office accommodation decision. Pacific Rim Property Research Journal 25:3, pages 245-263.
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Dimitrios Gounopoulos, Kyriaki Kosmidou, Dimitrios Kousenidis & Victoria Patsika. (2019) The investigation of the dynamic linkages between real estate market and stock market in Greece. The European Journal of Finance 25:7, pages 647-669.
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Ghulam Ali & Khalid Zaman. (2017) Do house prices influence stock prices? Empirical investigation from the panel of selected European Union countries. Economic Research-Ekonomska Istraživanja 30:1, pages 1840-1849.
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Chris Adcock, Xiuping Hua & Yiping Huang. (2016) Are Chinese stock and property markets integrated or segmented?. The European Journal of Finance 22:4-6, pages 345-370.
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Rhodri Preece & Sviatoslav Rosov. (2014) Dark Trading and Equity Market Quality. Financial Analysts Journal 70:6, pages 33-48.
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Camilo Serrano & Martin Hoesli. (2009) Global Securitized Real Estate Benchmarks and Performance. Journal of Real Estate Portfolio Management 15:1, pages 1-19.
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Martin Hoesli, Jon Lekander & Witold Witkiewicz. (2004) International Evidence on Real Estate as a Portfolio Diversifier. Journal of Real Estate Research 26:2, pages 161-206.
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Patrick Wilson & Ralf Zurbruegg. (2003) International Diversification of Real Estate Assets: Is It Worth It? Evidence from the Literature. Journal of Real Estate Literature 11:3, pages 257-278.
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John Benjamin, Stacy Sirmans & Emily Zietz. (2001) Returns and Risk on Real Estate and Other Investments: More Evidence. Journal of Real Estate Portfolio Management 7:3, pages 183-214.
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Teng Huang, Anil Kumar, Stefano Sacchetto & Carles Vergara-Alert. (2022) Stock Comovement and Financial Flexibility. Journal of Financial and Quantitative Analysis, pages 1-44.
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Matt Larriva. (2022) Cap Rates as a Function of Real Economic Growth. Journal of Risk and Financial Management 15:8, pages 324.
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Yao Zheng & Eric Osmer. (2021) Housing price dynamics: The impact of stock market sentiment and the spillover effect. The Quarterly Review of Economics and Finance 80, pages 854-867.
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Young-Min Kim. (2020) Do Fund Investors Consider Asset Returns? Substitute Relation Among Investment Funds in Korea. Asia-Pacific Financial Markets 27:4, pages 521-536.
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Ming-Chu Chiang & I-Chun Tsai. (2020) Importance of Proper Monetary Liquidity: Sustainable Development of the Housing and Stock Markets. Sustainability 12:21, pages 8989.
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John L. Glascock, Wikrom Prombutr, Ying Zhang & Tingyu Zhou. (2017) Can Investors Hold More Real Estate? Evidence from Statistical Properties of Listed REIT versus Non-REIT Property Companies in the U.S.. The Journal of Real Estate Finance and Economics 56:2, pages 274-302.
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Nisara Wongutai, Woraphon Yamaka & Roengchai Tansuchat. 2018. Integrated Uncertainty in Knowledge Modelling and Decision Making. Integrated Uncertainty in Knowledge Modelling and Decision Making 433 444 .
Patrick Sentis. 2017. Les Grands Auteurs en Finance. Les Grands Auteurs en Finance 346 371 .
Piyush Tiwari & Michael White. 2014. Real Estate Finance in the New Economy. Real Estate Finance in the New Economy 155 173 .
Helyette Geman & Radu Tunaru. (2013) Commercial Real-Estate Inventory and Theory of Storage. Journal of Futures Markets 33:7, pages 675-694.
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I-Chun Tsai. (2012) Housing Supply, Demand and Price: Construction Cost, Rental Price and House Price Indices. Asian Economic Journal 26:4, pages 381-396.
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I-Chun Tsai, Cheng-Feng Lee & Ming-Chu Chiang. (2011) The Asymmetric Wealth Effect in the US Housing and Stock Markets: Evidence from the Threshold Cointegration Model. The Journal of Real Estate Finance and Economics 45:4, pages 1005-1020.
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Luis Garcia-Feijoo, Gerald R. Jensen & Robert R. Johnson. (2012) The Effectiveness of Asset Classes in Hedging Risk. The Journal of Portfolio Management 38:3, pages 40-55.
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Lars Helge Haß, Lutz Johanning, Bernd Rudolph & Denis Schweizer. (2012) Open-ended property funds: Risk and return profile — Diversification benefits and liquidity risks. International Review of Financial Analysis 21, pages 90-107.
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Piet M. A. Eichholtz, Nils Gugler & Nils Kok. (2010) Transparency, Integration, and the Cost of International Real Estate Investments. The Journal of Real Estate Finance and Economics 43:1-2, pages 152-173.
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Chi-Wei Su. (2011) Non-linear causality between the stock and real estate markets of Western European countries: Evidence from rank tests. Economic Modelling 28:3, pages 845-851.
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John G. Gallo & Ying Zhang. (2009) Global Property Market Diversification. The Journal of Real Estate Finance and Economics 41:4, pages 458-485.
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Ivo de Wit. (2009) International Diversification Strategies for Direct Real Estate. The Journal of Real Estate Finance and Economics 41:4, pages 433-457.
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Colin Lizieri. 2009. Towers of Capital: Office Markets & International Financial Services. Towers of Capital: Office Markets & International Financial Services 303 320 .
David Lorenz & Stefan Trück. (2008) Risk and return in European property markets: an empirical investigation. Journal of European Real Estate Research 1:3, pages 235-253.
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LUCA BENZONI, PIERRE COLLIN-DUFRESNE & ROBERT S. GOLDSTEIN. (2007) Portfolio Choice over the Life-Cycle when the Stock and Labor Markets Are Cointegrated. The Journal of Finance 62:5, pages 2123-2167.
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Tracey West & Andrew C Worthington. (2006) Macroeconomic risk factors in Australian commercial real estate, listed property trust and property sector stock returns. Journal of Financial Management of Property and Construction 11:2, pages 105-116.
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Claes Hägg & Curt Scheutz. (2006) Property brands, human capital and Tobin's q . Journal of Human Resource Costing & Accounting 10:1, pages 4-10.
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Foort Hamelink & Martin Hoesli. (2004) What Factors Determine International Real Estate Security Returns?. Real Estate Economics 32:3, pages 437-462.
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Simon Stevenson. (2004) Testing the statistical significance of real estate in an international mixed asset portfolio. Journal of Property Investment & Finance 22:1, pages 11-24.
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Dirk Brounen & Piet M.A Eichholtz. (2003) Property, Common Stock, and Property Shares. The Journal of Portfolio Management 29:5, pages 129-137.
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C.F. SirmansElaine Worzala. (2016) International Direct Real Estate Investment: A Review of the Literature. Urban Studies 40:5-6, pages 1081-1114.
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Luca Benzoni, Pierre Collin-Dufresne & Robert S. Goldstein. (2006) Portfolio Choice Over the Life-Cycle when the Stock and Labor Markets are Cointegrated. SSRN Electronic Journal.
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Luca Benzoni, Pierre Collin-Dufresne & Robert S. Goldstein. (2005) Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income. SSRN Electronic Journal.
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Zeyu Di & Almas Heshmati. (2022) Relationship between the Real Estate Sector and the Stock Market in Chinese Provinces. SSRN Electronic Journal.
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Martin Edward Ralph Hoesli, Jon Lekander & Witold Witkiewicz. (2003) International Evidence on Real Estate as a Portfolio Diversifier. SSRN Electronic Journal.
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Foort Hamelink & Martin Edward Ralph Hoesli. (2003) What Factors Determine International Real Estate Security Returns?. SSRN Electronic Journal.
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Arianna Agosto & Daniel Felix Ahelegbey. (2020) Default Count-Based Network Models for Credit Contagion. SSRN Electronic Journal.
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Anil Kumar, Stefano Sacchetto & Carles Vergara-Alert. (2019) Stock Comovement and Financial Flexibility. SSRN Electronic Journal.
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Dimitrios Gounopoulos, Kyriaki Kosmidou, Dimitrios V Kousenidis & Victoria Patsika. (2017) The Investigation of the Dynamic Linkages between Real Estate Market and Stock Market in Greece. SSRN Electronic Journal.
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Ming Chu Chiang, Tien Foo Sing & Long Wang. (2017) Interaction of Housing Market and Stock Market in the U.S. - A Markov Switching Model Analysis. SSRN Electronic Journal.
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Sreenivas Rajan. (2015) Green Cognition and the Green Organization. SSRN Electronic Journal.
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Kuang-Liang Chang, NannKuang Chen & Charles Ka Yui Leung. (2015) Losing Track of the Asset Markets: The Case of Housing and Stock. SSRN Electronic Journal.
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Christian R. Grose. (2013) Risk and Roll Calls: How Legislators' Personal Finances Shape Congressional Decisions. SSRN Electronic Journal.
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Sreenivas Rajan. (2012) Nature 2020: Rise of the Green Economy. SSRN Electronic Journal.
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Tracey West & Andrew C. Worthington. (1999) The Usefulness of Economic Value-Added in the Australian Context. SSRN Electronic Journal.
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Constantin Gurdgiev, Brian M. Lucey & Deirdre Reilly. (2010) Real Estate and the Stock Market: A Meta‐Regression Analysis. SSRN Electronic Journal.
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Luca Benzoni & Olena Chyruk. (2009) Investing over the Life Cycle with Long-Run Labor Income Risk. SSRN Electronic Journal.
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