The substitutability of REITs and value stocks

References

• Chiang , K and Lee , M . 2002 . REITs in the decentralised investment industry . Journal of Property Investment & Finance , 20 : 496 – 512 .
   Google Scholar
• Clayton , J and MacKinnon , G . 2001 . The time-varying nature of the link between REIT, real estate and financial returns . Journal of Real Estate Portfolio Management , 7 : 43 – 54 .
   Google Scholar
• Lee , ML and Chiang , K . 2004 . Substitutability between equity REITs and mortgage REITs . Journal of Real Estate Research , 26 : 96 – 113 .
   Google Scholar
• Lee , S and Stevenson , S . 2005 . The case for REITs in the mixed-asset portfolio in the short and long run . Journal of Real Estate Portfolio Management , 11 : 55 – 80 .
   Google Scholar
• Liang , Y and McIntosh , W . 1998 . REIT style and performance . Journal of Real Estate Portfolio Management , 4 : 69 – 78 .
   Google Scholar
• Liu , CH , Hartzell , DJ and Hoesli , ME . 1997 . International evidence on real estate securities as an inflation hedge . Real Estate Economics , 25 : 193 – 222 .
   Web of Science ®Google Scholar
• Sanders , AB . 1998 . The Historical Behaviour of REIT Returns: A Capital Market Perspective , Edited by: Garrigan , RT and Parsons , JFC . 227 – 305 . New York : Real Estate Investment Trusts, McGraw-Hill .
   Google Scholar
• Seck , D . 1996 . The substitutability of real estate assets . Real Estate Economics , 24 : 75 – 95 .
   Web of Science ®Google Scholar
• Sharpe , WF . 1988 . Determining a fund's effective asset mix . Investment Management Review , December : 59 – 69 .
   Google Scholar
• Sharpe , WF . 1992 . Asset allocation, management style and performance measurement . Journal of Portfolio Management , Winter : 7 – 19 .
   Google Scholar
• Stevenson , S . 2001 . Re-examination of the inflation hedging ability of real estate securities: empirical tests using international orthogonalized and hedged data . International Real Estate Review , 4 : 26 – 41 .
   Google Scholar
• Stevenson , S . 2002 . An examination of volatility spillovers in REIT returns . Journal of Real Estate Portfolio Management , 8 : 229 – 38 .
   Google Scholar
• Ziering , B , Liang , DC and McIntosh , W . 1999 . REIT correlations with capital market indexes: separating signal from noise . Real Estate Finance , 15 : 61 – 7 .
   Google Scholar