This paper tests whether commercial real estate markets (both exchange‐traded and non‐
exchange‐traded) are integrated with stock markets using multifactor asset pricing models …

This study reviews the most recent findings on real estate returns, and organizes the reviews
into five categories:(1) risk and returns;(2) diversification and portfolio optimization …

We examine the risk and return characteristics of publicly traded real estate companies from
14 countries over the period 1990 to 2001. Our data are monthly country‐level commercial …

This paper investigates the return performance of publicly traded real estate companies. The
analysis spans the 1984–1999 time period and includes return data on over 600 companies …

We examine how the predictability of real estate returns affects the risk of, and optimal
allocations to, real estate for investors of differing investment horizons. Returns to direct real …

If there is long-term memory in property stocks and REITs prices, historical data is relevant
for future prices prediction. Despite previous research adopted various different methods to …

We tests two important implications for Real Estate Investment Trust (REIT) market efficiency
from the adaptive markets hypothesis (Lo, 2004): first, market efficiency is not an all-or-none …

Abstract Purpose The Group Method of Data Handling (GMDH) neural network has
demonstrated good performance in data mining, prediction, and optimization. Scholars have …

This analysis investigates several aspects of the relationship between daily REIT stock risk
premiums and various interest rates. Consistent with prior research, the general findings …

This study examines the predictability of REITs returns considering the role of
macroeconomic risk predictors for three emerging African REITs markets, namely Ghana …