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 …

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 …

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 …

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 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 …

Abstract Over-the-counter (OTC) stocks are far less liquid, disclose less information, and
exhibit lower institutional holdings than do listed stocks. We exploit these different market …