The aim of this study is to examine whether securitized real estate returns reflect direct real
estate returns or general stock market returns using international data for the US, UK, and …

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 paper examines the link between REIT, financial asset and real estate returns, and tests
whether it changed subsequent to the “REIT boom” of the early 1990s. The main focus is on …

As real estate forms a significant part of the asset portfolios of most investors and lenders, it
is crucial that analysts and institutions employ sound techniques for modelling and …

This article reviews the state of the art in real estate price indexing and the state of
knowledge about real estate price dynamics, with a focus on investment property, or income …

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 …

To date, there has been considerable concern with evaluating the performance of real estate
returns or determining the significance of fundamental state variables. This paper differs …

We examine the predictable components of returns on stocks, bonds, and real estate
investment trusts (REITs). We employ a multiple-beta asset pricing model and find that there …

Historic analysis of the inflation hedging properties of stocks has produced anomalous
results, with stocks often appearing to offer a perverse hedge. This has been attributed to the …

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 …