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Journal of Real Estate Research Volume 34, 2012 - Issue 2
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Research Articles

Modeling Relationships among Securitized Property Markets, Stock Markets, and Macroeconomics Variables

Nafeesa YunusUniversity of Baltimore, Baltimore, MD21201
Pages 127-156 | Published online: 17 Jun 2020

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  • Glascock, J., C. Lu, and R. So. REIT Returns and Inflation: Perverse or Reverse Causality Effects. Journal of Real Estate Finance and Economics, 2002, 24, 301-17. REIT Returns and Inflation: Perverse or Reverse Causality Effects Journal of Real Estate Finance and Economics 24 301 17
  • Granger, C.W.J. Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica, 1969, 37, 424-38. Investigating Causal Relations by Econometric Models and Cross-Spectral Methods Econometrica 37 424 38
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  • Gyourko, J. and D. Keim. What Does the Stock Market Tell Us About Real Estate Returns? Real Estate Economics, 1992, 20, 457-85. What Does the Stock Market Tell Us About Real Estate Returns? Real Estate Economics 20 457 85
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  • He, L.T. Cointegration and Price Discovery between Equity and Mortgage REITs. Journal of Real Estate Research, 1998, 16, 327-38. Cointegration and Price Discovery between Equity and Mortgage REITs Journal of Real Estate Research 16 327 38
  • Hoesli, M., J. Lekander, and W. Witkiewicz. International Evidence on Real Estate as a Portfolio Diversifier. Journal of Real Estate Research, 2004, 26, 161-206. International Evidence on Real Estate as a Portfolio Diversifier Journal of Real Estate Research 26 161 206
  • Hoesli, M., C. Lizieri, and B. MacGregor. The Inflation Hedging Characteristics of U.S. and U.K. Investments: A Multi-Factor Error Correction Approach. Journal of Real Estate Finance and Economics, 2008, 36, 183-206. The Inflation Hedging Characteristics of U.S. and U.K. Investments: A Multi-Factor Error Correction Approach Journal of Real Estate Finance and Economics 36 183 206
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  • Kallberg, J.G., C.H. Liu, and S. Anand. Dividend Pricing Models and REITs. Real Estate Economics, 2003, 31, 435-50. Dividend Pricing Models and REITs Real Estate Economics 31 435 50
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  • Kleiman, R.T., J.E. Payne, and A.P. Sahu. Random Walks and Market Efficiency: Evidence from International Real Estate Markets. Journal of Real Estate Research, 2002, 24, 279-98. Random Walks and Market Efficiency: Evidence from International Real Estate Markets Journal of Real Estate Research 24 279 98
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  • Laopodis, L.K. Dynamic Interactions Among the Stock Market. Federal Funds Rate, Inflation, and Economic Activity. The Financial Review, 2006, 41, 513-45. Dynamic Interactions Among the Stock Market. Federal Funds Rate, Inflation, and Economic Activity The Financial Review 41 513 45
  • Li, Y. and K. Wang. The Predictability of REIT Returns and Market Segmentation. Journal of Real Estate Research, 1995, 10, 471-82. The Predictability of REIT Returns and Market Segmentation Journal of Real Estate Research 10 471 82
  • Ling, D. and A. Naranjo. The Integration of Commercial Real Estate Markets and Stock Market. Real Estate Economics, 1999, 27, 483-515. The Integration of Commercial Real Estate Markets and Stock Market Real Estate Economics 27 483 515
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  • Luintel, K. and K. Paudyal. Are Common Stocks a Hedge against Inflation? Journal of Financial Research, 2006, 29, 1-19. Are Common Stocks a Hedge against Inflation? Journal of Financial Research 29 1 19
  • Maurer, R. and S.P. Sebastian. Inflation Risk Analysis of European Real Estate Securities. Journal of Real Estate Research, 2002, 24, 47-46. Inflation Risk Analysis of European Real Estate Securities Journal of Real Estate Research 24 47 46
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  • Mueller, G.R., K.R. Pauley, and R. Keith. The Effect of Interest Rate Movements on Real Estate Investment Trusts. Journal of Real Estate Research, 1995, 10, 319-25. The Effect of Interest Rate Movements on Real Estate Investment Trusts Journal of Real Estate Research 10 319 25
  • Myer, F.C.N., M.K. Chaudhry, and J.R. Webb. Stationarity and Co-Integration in Systems with Three National Real Estate Indices. Journal of Real Estate Research, 1996, 13, 369-81. Stationarity and Co-Integration in Systems with Three National Real Estate Indices Journal of Real Estate Research 13 369 81
  • Myer, F.C.N. and J.R. Webb. Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison. Journal of Real Estate Research, 1993, 8, 87- 106. Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison Journal of Real Estate Research 8 87 106
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  • Simpson, W.M., S. Ramchander, and J.R. Webb. The Asymmetric Response of Equity REIT Returns to Inflation. Journal of Real Estate Finance and Economics, 2007, 34, 514-29. The Asymmetric Response of Equity REIT Returns to Inflation Journal of Real Estate Finance and Economics 34 514 29
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