According to literature, oil price shocks and volatility can have sector-specific impacts in the
market. While these studies include most asset groups, the dynamic relationship between …

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 …

In this study, we address whether the degree of financial liberalization affects the
aggregated total volatility of stock returns by considering the time-varying nature of financial …

This paper provides cross-country evidence of the link between securitized real estate and
stocks, bonds, and direct real estate. First, the behavior of betas in sixteen countries is …

In this article we compare public and private real estate equities. In so doing, we control for
three of the main differences between these investment alternatives: property‐type mix …

Our study investigates the market-wide herding behavior in the US equity REIT market.
Utilizing the quantile regression method, we find that herding is more likely to be present in …

Purpose The purpose of this paper is to empirically examine the return and dividend
characteristics of two different types of Malaysian real estate investment trust (REIT) series …

This paper analyzes the relationships between local and global securitized real estate
markets, but also between securitized real estate and common stock markets. First, the …

This study presents evidence of cointegration between securitized (NAREIT) and direct
(NCREIF) real estate total return indices. Since the two real estate indices are cointegrated …

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 …