Examining Cross-border Comovements of REITs Around the World

References

• Alcock, J., & Steiner, E. (2018). Fundamental drivers of dependence in REIT returns. Journal of Real Estate Finance and Economics, 57(1), 4–42.
   Web of Science ®Google Scholar
• Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5(1), 31–56.
   Web of Science ®Google Scholar
• Amihud, Y., Hameed, A., Kang, W., & Zhang, H. (2015). The illiquidity premium: International evidence. Journal of Financial Economics, 117(2), 350–368.
   Web of Science ®Google Scholar
• Barberis, N., Shleifer, A., & Wurgler, J. (2005). Comovement. Journal of Financial Economics, 75(2), 283–317.
   Web of Science ®Google Scholar
• Bardhan, A., Edelstein, R., & Tsang, D. (2008). Global financial integration and real estate security returns. Real Estate Economics, 36(2), 285–311.
   Web of Science ®Google Scholar
• Basa, S., & Pavlov, A. (2013). Asset price and industrial investor. American Economic Review, 103(5), 1728–1758.
   Google Scholar
• Bekaert, G., & Harvey, C. R. (1995). Time-varying world market integration. Journal of Finance, 50(2), 403–444.
   Web of Science ®Google Scholar
• Bekaert, G., Hodrick, R. J., & Zhang, X. (2009). International stock return comovements. Journal of Finance, 64(6), 2591–2626.
   Web of Science ®Google Scholar
• Bond, S. A., Karolyi, G. A., & Sanders, A. B. (2003). International real estate returns: A multifactor, multicountry approach. Real Estate Economics, 31(3), 481–500.
   Web of Science ®Google Scholar
• Bond, S., & Xue, C. (2017). The cross section of expected real estate returns: Insights from investment-based asset pricing. Journal of Real Estate Finance and Economics, 54, 403–428.
   Web of Science ®Google Scholar
• Brooks, R., & Negro, M. D. (2006). Firm-level evidence on international stock market comovement. Review of Finance, 10(1), 69–98.
   Google Scholar
• Brunnermeier, M. K., & Pedersen, L. H. (2009). Funding liquidity and market liquidity. Review of Financial Studies, 22(6), 2201–2238.
   Web of Science ®Google Scholar
• Chen, H., Singal, V., & Whitelaw, R. (2016). Comovement revisited. Journal of Financial Economics, 121(3), 624–644.
   Web of Science ®Google Scholar
• Chiang, K., & Lee, M. (2002). REITs in the decentralized investment industry. Journal of Property Investment & Finance, 20(6), 496–512.
   Google Scholar
• Chiang, K., Lee, M. L., & Wisen, C. (2004). Another look at the asymmetric REIT-beta puzzle. Journal of Real Estate Research, 26(1), 25–42.
   Google Scholar
• Dahlquist, M., & Robertsson, G. (2001). Direct foreign ownership, institutional investors, and firm characteristics. Journal of Financial Economics, 59(3), 413–440.
   Web of Science ®Google Scholar
• Dasgupta, S., Gan, J., & Gao, N. (2010). Transparency, price informativeness, and stock return synchronicity: Theory and evidence. Journal of Financial and Quantitative Analysis, 45(5), 1189–1220.
   Web of Science ®Google Scholar
• Fama, E. F., & French, K. R. (1992). The cross-section of expected returns. Journal of Finance, 47(2), 427–465.
   Web of Science ®Google Scholar
• Fama, E. F., & French, K. R. (2012). Size, value, and momentum in international stock returns. Journal of Financial Economics, 105(3), 457–472.
   Web of Science ®Google Scholar
• Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1–22.
   Web of Science ®Google Scholar
• Fama, E. F., & French, K. R. (2017). International tests of a five-factor asset pricing model. Journal of Financial Economics, 123(3), 441–463.
   Web of Science ®Google Scholar
• Gallo, J. G., & Zhang, Y. (2010). Global property market diversification. Journal of Real Estate Finance and Economics, 41(4), 458–485.
   Web of Science ®Google Scholar
• Gelos, R. G., & Wei, S. (2005). Transparency and international portfolio holdings. Journal of Finance, 60(6), 2987–3020.
   Web of Science ®Google Scholar
• Giacomin, E., Ling, D., & Naranjo, A. (2015). Leverage and returns: A cross-country analysis of public real estate markets. Journal of Real Estate Finance and Economics, 51(2), 125–159.
   Web of Science ®Google Scholar
• Green, T. C., & Hwang, B. H. (2009). Price-based return comovement. Journal of Financial Economics, 93(1), 37–50.
   Web of Science ®Google Scholar
• Griffin, J. M. (2002). Are the Fama and French factors global or country specific? The Review of Financial Studies, 15(3), 783–803.
   Web of Science ®Google Scholar
• Hameed, A., Kang, W., & Viswanathan, S. (2010). Stock market declines and liquidity. The Journal of Finance, 65(1), 257–293.
   Web of Science ®Google Scholar
• Hamelink, F., & Hoesli, M. (2004). What factors determine international real estate security returns? Real Estate Economics, 32(3), 437–462.
   Web of Science ®Google Scholar
• Hardin, W. G., III., Hurwitz, C., & Parhizgari, A. M. (2020). Do real estate ETFs increase the volatility of REITs? Journal of Real Estate Research, 42(4), 439–475.
   Web of Science ®Google Scholar
• Hoesli, M., & Reka, K. (2013). Volatility spillovers, comovements and contagion in securitized real estate markets. Journal of Real Estate Finance and Economics, 47(1), 1–35.
   Web of Science ®Google Scholar
• Jagannathan, R., & Wang, Z. (1996). The conditional CAPM and the cross-section of expected returns. Journal of Finance, 51(1), 3–53.
   Web of Science ®Google Scholar
• Kallberg, J. G., Liu, C. H., & Srinivasan, A. (2003). Dividend pricing models and REITs. Real Estate Economics, 31(3), 435–450.
   Web of Science ®Google Scholar
• Karolyi, G. A., Lee, K. H., & Van Dijk, M. A. (2012). Understanding commonality in liquidity around the world. Journal of Financial Economics, 105(1), 82–112.
   Web of Science ®Google Scholar
• Karolyi, G. A., & Stulz, R. M. (1996). Why do markets move together? An investigation of U.S.-Japan stock return comovements. Journal of Finance, 51(3), 951–986.
   Web of Science ®Google Scholar
• Kaufmann, D., Kraay, A., & Mastruzzi, M. (2008). Governance matters VII: Aggregate and individual governance indicators, 1996–2007 (Unpublished working paper). World Bank.
   Google Scholar
• Kumar, A., Page, J. K., & Spalt, O. G. (2016). Gambling and comovement. Journal of Financial and Quantitative Analysis, 51(1), 85–111.
   Web of Science ®Google Scholar
• La Porta, R., Lopez-De-Silanes, S., Shielfer, A., & Vishny, R. (1997). Legal determinants of external finance. Journal of Finance, 52(3), 1131–1150.
   Web of Science ®Google Scholar
• Ling, D. C., & Naranjo, A. (2002). Commercial real estate return performance: A cross-country analysis. Journal of Real Estate Finance and Economics, 24(1-2), 119–142.
   Web of Science ®Google Scholar
• Ling, D. C., & Naranjo, A. (2006). Dedicated REIT mutual fund flows and REIT performance. Journal of Real Estate Finance and Economics, 32(4), 409–433.
   Web of Science ®Google Scholar
• Liow, K. H. (2012). Co-movements and correlations across Asian securitized real estate and stock markets. Real Estate Economics, 40(1), 97–129.
   Web of Science ®Google Scholar
• Liow, K. H., & Webb, J. R. (2009). Common factors in international securitized real estate markets. Review of Financial Economics, 18(2), 80–89.
   Google Scholar
• Liow, K. H., Zhou, X., & Ye, Q. (2015). Correlation dynamics and determinants in international securitized real estate markets. Real Estate Economics, 43(3), 537–585.
   Web of Science ®Google Scholar
• Loughran, T., & Schultz, P. (2005). Liquidity: Urban versus rural firms. Journal of Financial Economics, 78(2), 341–374.
   Web of Science ®Google Scholar
• Lu, C., Tse, Y., & Williams, M. (2013). Returns transmission, value at risk, and diversification benefits in international REITs: Evidence from the financial crisis. Review of Quantitative Finance and Accounting, 40(2), 293–318.
   Google Scholar
• Malmendier, U., & Tate, G. (2005). CEO overconfidence and corporate investment. Journal of Finance, 60(6), 2661–2700.
   Web of Science ®Google Scholar
• Michayluk, D., Wilson, P. J., & Zurbruegg, R. (2006). Asymmetric volatility, correlation and returns dynamics between the US and UK securitized real estate markets. Real Estate Economics, 34(1), 109–131.
   Web of Science ®Google Scholar
• Morck, R., Yeung, B., & Yu, W. (2000). The information content of stock markets: why do emerging markets have synchronous stock price movements? Journal of Financial Economics, 58(1-2), 215–260.
   Web of Science ®Google Scholar
• Naranjo, A., & Porter, B. (2010). Risk factor and industry effects in the cross-country comovement of momentum returns. Journal of International Money and Finance, 29(2), 275–299.
   Web of Science ®Google Scholar
• Pavlov, A., Steiner, E., & Wachter, S. (2018). The consequences of REIT index membership for return patterns. Real Estate Economics, 46(1), 210–250.
   Web of Science ®Google Scholar
• Pirinsky, C., & Wang, Q. (2006). Does corporate headquarters location matter for stock returns? Journal of Finance, 61(4), 1991–2015.
   Web of Science ®Google Scholar
• Rua, A., & Nunes, L. (2009). International comovement of stock market returns: A wavelet analysis. Journal of Empirical Finance, 16(4), 632–639.
   Web of Science ®Google Scholar
• Shen, Y. P., Lu, C., & Lin, Z. H. (2012). International real estate mutual fund performance: Diversification or costly information? Journal of Real Estate Finance and Economics, 44(3), 394–413.
   Web of Science ®Google Scholar
• Stevenson, S. (2002). An examination of volatility spillovers in REIT returns. Journal of Real Estate Portfolio Management, 8(3), 229–238.
   Google Scholar
• Stevenson, S. (2016). Macro-economic and financial determinants of comovement across global real estate security markets. Journal of Real Estate Research, 38(4), 595–624.
   Web of Science ®Google Scholar
• Zhang, X. (2006). Specification tests of international asset pricing models. Journal of International Money and Finance, 25(2), 275–307.
   Web of Science ®Google Scholar