1. Trang chủ
  2. » Giáo Dục - Đào Tạo

The dynamic relationship between commercial real estate and stock markets

259 349 0

Đang tải... (xem toàn văn)

Tài liệu hạn chế xem trước, để xem đầy đủ mời bạn chọn Tải xuống

THÔNG TIN TÀI LIỆU

Thông tin cơ bản

Định dạng
Số trang 259
Dung lượng 1,41 MB

Nội dung

THE DYNAMIC RELATIONSHIP BETWEEN COMMERCIAL REAL ESTATE AND STOCK MARKETS YANG HAISHAN (B.Eng. (Hons), M.Sc., Chongqing) A THESIS SUBMITTED FOR THE DEGREE OF DOCTOR OF PHILOSOPHY DEPARTMENT OF REAL ESTATE SCHOOL OF DESIGN AND ENVIRONMENT NATIONAL UNIVERSITY OF SINGAPORE 2003 ACKNOWLEDGEMENTS I appreciate the dedication of the many individuals who helped me to complete this dissertation. First and most foremost, I like to express my deepest gratitude to my academic advisor, Professor Liow Kim Hiang, for his tremendous guidance, encouragement, and extraordinary support throughout the whole process of this dissertation. I am also grateful to the rest of my dissertation committee, Dr. Joseph Ooi Thian Leong and Dr. Lum Sau Kim for their thoughtful input and guidance during the process of completing this dissertation. In addition to my dissertation committee, I owe many thanks to Dr. Tu Yong, who provided me the prompt feedback through emails and calls. I am also grateful to Dr. Zhang Xibin for his support as a good friend and as a mentor. Moreover, I wish to extend to profound appreciation to my parents who have taught me the importance of education and who have devoted their lives to supporting their children. Finally, and most importantly, I am indebted to my girlfriend, Miss Sun Yang. Without her constant encouragement, unceasing sacrifices, and emotional support, the completion of this dissertation could not have been possible. i To my family, in gratitude for their confidence and patience—I relied on both when my own wavered, and to the memory of my beloved mother whose influence on my life has become clearer since she was called home to be with the Lord during my Ph.D. study. ii TABLE OF CONTENTS LIST OF TABLES LIST OF FIGURES CHAPTER INTRODUCTION 1.1 Background 1.2 Research Objectives 14 1.3 Research Questions 14 1.4 Significance of the Research . 15 1.5 Research Data . 17 1.6 Research Framework and Methodology - Commercial Real Estate Market, Stock Market, and Macroeconomy 18 1.7 Empirical Research Framework and Methodology 26 1.8 Scope of the Research . 30 1.9 Outline of the Research 31 CHAPTER LITERATURE REVIEW 2.1 Introduction 35 2.2 Relationships between Direct and Indirect Real Estate 35 2.2.1 Presence of a Pure Real Estate Factor in Indirect Real Estate 36 2.2.2 Causal Relationship Between Direct and Indirect Real Estate . 43 2.2.3 Long-run Relationship Between Direct and Indirect Real Estate . 50 2.3 Relationships between Real Estate and Stock Markets 53 2.3.1 Cross-correlation Analysis 54 2.3.2 Market Integration/Segmentation Analysis 55 2.3.3 Causal Relationship Analysis . 60 2.3.4 Measurement Issues in Real Estate Return and Risk . 62 2.4 The Macroeconomic Factors Influencing Real Estate and Stock Markets 65 2.4.1 Stock and the Macroeconomy . 66 2.4.2 Real Estate and the Macroeconomy 72 2.5 Conclusion . 75 iii CHAPTER MARKET STRUCTURE AND HISTORICAL REVIEW 3.1 Introduction 80 3.2 Overview of Singapore . 80 3.3 The Singapore Commercial Real Estate Market 82 3.4 The Singapore Stock Market . 88 3.5 Listed Property Companies in Singapore 90 3.6 Review of the Market Performance . 95 3.7 Review of Related Singapore Property Research – Commercial Real Estate and Property Companies 104 3.8 Concluding Remark 105 CHAPTER UNIVARIATE LINEAR AND NONLINEAR ANALYSIS 4.1 Introduction . 107 4.2 Descriptive Statistics 107 4.3 Univariate Linear Analysis . 112 4.4 Univariate Nonlinear Analysis . 116 4.5 Summary 121 CHAPTER MARKET INTEGRATION BETWEEN COMMERCIAL REAL ESTATE AND STOCK MARKETS 5.1 Introduction 124 5.2 Research Scope and Hypotheses . 125 5.3 Research Data . 126 5.3.1 Office Price Index (PPIO) 126 5.3.2 Stock Market Index (SGXA) 127 5.3.3 Data Treatment for Synchronization . 130 5.4 Research Methodology . 130 5.4.1 Unit Root Test 133 5.4.2 Engle-Granger’s Cointegration Technique 140 5.4.3 Johansen Cointegration Technique . 141 5.4.4 Fractional Cointegration Technique 143 iv 5.5 Results and Discussion 151 5.5.1 Results of Unit Root Test . 151 5.5.2 Results of Cointegration Analysis . 153 5.6 Summary 162 CHAPTER CAUSAL RELATIONSHIP BETWEEN COMMERCIAL REAL ESTATE AND STOCK MARKETS 6.1 Introduction 165 6.2 Research Scope and Hypotheses . 165 6.3 Research Data . 167 6.4 Research Methodology . 167 6.4.1 A Testing Procedure for Linear Granger Causality . 167 6.4.2 A Testing Procedure for Nonlinear Granger Causality 169 6.4.2.1 Modified Baek and Brock Nonparametric Method 169 6.4.2.2 Bivariate Fractionally Integrated Error Correction Model . 173 6.5 Results and Discussion 175 6.5.1 Results of Linear Granger Causality Tests 175 6.5.2 Results of Nonlinear Granger Causality Tests . 178 6.6 Summary 183 CHAPTER RELATIONSHIP BETWEEN COMMERCIAL REAL ESTATE AND STOCK MARKETS IN THE MACROECONOMY 7.1 Introduction 186 7.2 Research Scope and Hypotheses . 187 7.3 Research Data . 191 7.3.1 Gross Domestic Product . 192 7.3.2 Interest Rate . 193 7.3.3 Inflation . 194 7.3.4 Exchange Rate . 194 7.3.5 Data Treatment for Synchronization . 194 7.4 Research Methodology . 195 7.4.1 Cointegration Analysis . 196 7.4.2 Vector Error Correction Model and Fractionally Integrated Error Correction Model . 198 v 7.5 Results and Discussion . 200 7.5.1 Long-run Relationship in a Macroeconomic Setting . 200 7.5.1.1 Results of Linear Cointegration Analysis 202 7.5.1.2 Results of Fractional Cointegration Analysis 208 7.5.2 Short-run Dynamics in a Macroeconomic Setting . 210 7.5.2.1 Results of Vector Error Correction Model . 210 7.5.2.2 Results of Fractionally Integrated Error Correction Model . 213 7.5.3 Forecasting Performance 217 7.6 Summary 218 CHAPTER CONCLUSION 8.1 Summary of Major Findings . 222 8.2 Implication for Real Estate Investment . 227 8.3 Research Contributions . 229 8.4 Limitations of the Research 230 8.5 Recommendations for Further Study . 231 BIBLIOGRAPHY vi SUMMARY This thesis explores three major issues regarding dynamic relationship between commercial real estate and common stock markets: market integration, causal relationship, and long-run and short-run relations in the macroeconomic setting. Various linear and nonlinear, parametric and nonparametric testing methodologies are applied to a Singapore data set over the 1975-2001 period in an integrated procedure. Before the relationship between the two markets is examined, we provide a comprehensive description of the distributional traits for each of the series throughout this dissertation. In general, certain degree of nonlinear structure, other than linear fabric, is present in commercial real estate and some macroeconomic variables. Thus, existing linear models would need to be enhanced to ensure that these nonlinear structures are accounted for in order to uncover the complex interrelation between commercial real estate and stock markets. The dynamic relationship between commercial real estate and stock markets is then addressed in three ways. First, we examine integration/segmentation between the two markets. While evidence of a long-run relationship for the two asset classes is found with Johansen cointegration tests, the standard residual-based cointegration techniques fail to provide any similar evidence. We attribute the inconsistencies between the cointegration results to the possibility of fractional cointegration which allows for fractionally integrated equilibrium errors and thus encompasses a wide range of meanreversion behavior. Based on the parametric Geweke-Porter-Hudak (GPH) test, the empirical results show that the equilibrium errors could be characterized by the fractionally integrated processes. Therefore, the commercial real estate market is vii nonlinearly related to the stock market, but the mean reversion between the two markets is quite slow. Second, we consider linear and nonlinear causal relationships between the two markets. In a linear Granger causality framework, the error-correction augmented VAR model shows that the commercial real estate market seems to informationally lead the stock market. The results imply that the private real estate market contains information that can be impounded in the securitized market through insider trading. However, the nonlinear Granger causality test based on the fractional cointegration indicates a significant bi-directional nonlinear causal relationship between the two markets. The strong evidence of the feedback effect is consistent with the fractional cointegration results and provides support for the prior finding that the commercial real estate market does have an influence on the stock market, rather than simply acting as a secondary absorber of information flow. Third, we examine the long-run and short-run relations between the two markets within the economic system including GDP, interest rate, inflation and exchange rate. If both corporate profits and rents were driven by economic fundamentals, then commercial real estate and stock prices should be expected to move together within the macroeconomic framework. The results show that the two markets are linearly in longrun equilibrium within the economic system, and that after controlling for changes in the macroeconomy, the observed positive relation between the two markets weakens. This implied that the correlation between the two markets is mainly due to their common reactions to fundamental economic activities. In addition, the results indicate the presence of nonlinear fractional cointegration among commercial real estate, stock viii and key macroeconomic factors. In the short-term dynamics, the macroeconomic variables are found to exert stronger influence on the commercial real estate market than the general stock market. Hence the commercial real estate market is significantly related to the key macroeconomic factors. To unveil the implication of the nature of long-run relation for the short-term dynamics, we further investigate the forecasting performance of the fractionally integrated error correction model (FIECM) against the conventional vector error correction model (VECM) for the prediction of the commercial real estate price index. Consistent with our expectation, incorporating fractional cointegration (if present) in an ECM does improve forecasting performance over the traditional ECMs. We not intend to uncover the whole spectrum of the three selected issues in making inferences about the dynamic interactions between the commercial real estate and the common stock markets. Within the sphere of mixed-asset allocation and corporate real estate management, the methods and evidence reported in this research can form the basis for further study in empirical literature related to the synthesis of modern economic and finance theories with real estate investment and management in the context of increasing interactions between real estate and broader capital markets. ix Chapter 8: Conclusion Secondly, our research results contribute to the empirical literature on the relationship between real estate and financial markets by indicating the presence of significant nonlinear effects in the dynamics between the commercial real estate and the common stock markets, both in the long term and the short term. This finding may prove helpful to further theoretical and empirical research on the commercial real estate market. It implies that researchers should consider the nonlinear theoretical mechanisms and empirical regularities when designing and evaluating models of the joint dynamics of the commercial real estate and the stock market. In addition, the complex and dynamic relationships between the two dominant asset classes uncovered by this study will help investors and financial analysts to properly assess the commercial real estate in a mixed-asset portfolio, forecast its future performance with more accuracy, and thus to formulate the optimal asset allocation strategy. More specifically, the fractional cointegration between the two markets suggests that diversification across these two asset classes may not produce the optimal risk reductions in the long run, though they may be held together in the short and medium terms, depending on the adjustment speed of mean reversion. In addition, the nonlinear bi-directional causal relationship between the two markets implies that besides the conventional wisdom to predict commercial real estate returns from stock market behavior, private commercial real estate market does contain useful information of future movement of stock market, and therefore can be used to forecast the future performance of stock market. Furthermore, incorporating the nonlinearity component in the long-term joint dynamics of commercial real estate price and stock price within the macroeconomic framework in the short-term dynamics could improve the forecasting performance of the relevant asset markets over the conventional linear error correction models. 8.4 Limitations of the Research Our research inquiries are exposed to the limitations of most empirical studies. In social 230 Chapter 8: Conclusion science, the conclusions of various researches are ultimately no better than the quality of our operationalization of abstract concepts in question through proper processing of values of observable proxy variables (Judd, Smith and Kidder, 1991). For the office price index in Singapore, although it has the advantage of being generated from the transaction prices rather than appraisal values, the construction of the index has two main shortcomings (Lee, 1995). First, the use of the transaction price by property type does not control for differences in the quality and characteristics of the sample of properties transacted across time. The second deficiency results from the relatively small stock of transacting office space plus the fact that most of the office space traded is secondary-grade office buildings, since most of the primegrade properties remain under the same ownership by institutional investors and property companies for several years at a time. Hence, the office price index may not be reflective especially of the underlying value of institutional-grade office buildings. Furthermore, the epistemological implications arising from our positivist approach to research might raise a problem. As Ryan (1982) argues, the positivist account for science has led the academic finance community to place an unwarranted reliance on empirical testing as a means to settle theoretical disputes. 8.5 Recommendations for Further Study While interpreting our evidence with the above caveats, we have nevertheless opened a promising and an exciting path in explicitly conducting an economic and econometric analysis of commercial real estate market behavior and investment in a broad capital market context. To suggest the least, there are several follow-ups from this research. The findings of nonlinear (fractional) cointegration and nonlinear dependence between the commercial real estate and the stock markets invite questions concerning the source of such nonlinearities. We suggest that these sophisticated properties can be accounted for by possible interactions among the underlying macroeconomic factors. It is possible that the long-memory 231 Chapter 8: Conclusion behavior of the deviations between the two markets and nonlinear causal relationship may in general mirror the influences of economic fundamentals, such as the level of aggregate output, inflation and interest rates. For example, empirical studies on the dynamic properties on the US macroeconomic time series – output, interest rate and money-supply data – show that these macroeconomic series may be characterized by fractionally integrated processes. (Diebold and Rudebusch, 1989, 1991b; Porter-Hudak, 1990; Shea, 1991). Of course, more in-depth research is needed to determine the source of the long-memory deviation from equilibrium and bidirectional nonlinear causal relationship between the two significant asset markets. This work is the first step towards developing further tests to capture specific types of nonlinear relationship between the commercial real estate and the stock markets such as the fractional cointegration. Other forms of nonlinearity could exist as well. For instance, Dijk and Franses (2000) advise that if the presence of an equilibrium relationship has been established, there is a possibility of asymmetric adjustment process to equilibrium that can be modeled by smooth-transition error-correction models due to such market frictions as short-selling restrictions and transaction costs. Various forms of nonlinear models can be compared in a “horse-race” of out-of-sample forecasting power. Furthermore, tests allowing for the coexistence and interaction of many types of nonlinearity can be developed as well. Finally, various econometric tests employed in this study could potentially be applied to examine the dynamic relationships between the other real estate sectors and the stock market locally and internationally; for example the residential real estate and the stock markets. Given that the real estate is not a single, homogeneous asset class (Hartzell, Hekman and Miles, 1986), the relationships with the common stock market that various real estate sectors exhibit could produce interesting findings and investment implications. 232 BIBLIOGRAPHY Abdalla, I.S.A. and V. Murinde. (1997). “Exchange Rate and Stock Price Interactions in Emerging Financial Markets: Evidence on India, Korea, Pakistan and the Philippines,” Applied Financial Economics 7(1): 25-35. Abhyankar, A. (1998). “Linear and Nonlinear Granger Causality: Evidence from the U.K. Stock Index Futures Market,” The Journal of Futures Markets 18(5): 519-540. Acton. M.J. and D.M. Poutasse. (1997). “The Correlation of Publicly and Privately Traded Real Estate,” Real Estate Finance 14 (2): 13-19. Ambrose, B.W., E. Ancel, and M.D. Griffiths. (1992). “The Fractal Structure of Real Estate Investment Trust Returns: The Search for Evidence of Market Segmentation and Nonlinear Dependency,” Journal of the American Real Estate and Urban Economics Association 20(1): 25-54. Alexander, C. and A. Johanse. (1994). “Dynamic Links,” Risk (February): 56-59. Allen M.T., J. Madura and T.M. Springer. (2000). “REIT Characteristics and the Sensitivity of REIT Returns,” Journal of Real Estate Finance and Economics 21(2): 141-152. Agiakloglou, C., P. Newbold and M. Wohar. (1992). “Bias in an Estimator of the Fractional Difference Parameter,” Journal of Time Series Analysis 14(1): 235-246. Ariff, M. and L.W. Johnson. (1990). “Ex Ante Risk Premia on Macroeconomic Factors in the Pricing of Stocks: An Analysis using Arbitrage Pricing Theory,” Chapter 18 in M. Ariff and L.W. Johnson, Securities Markets and Stock Pricing. Longman: Singapore. Armytage, P. (2002). “Property: Challenging Conventional Thinking,” Australian Property Journal 37(2): 82-88. Asprem, M. (1989). “Stock Prices, Asset Portfolios and Macroeconomic Variables in the Ten European Countries,” Journal of Banking and Finance 13(4-5): 589-612. Baillie, R.T. and D.D. Selover. (1987). “Cointegration and Models of Exchange Rate Determination,” International Journal of Forecasting 3: 43-51. Ball, M., C. Lizieri and B.D. MacGregor. (1998). The Economics of Commercial Property Markets. Routledge: London and New York. Barber, C., D. Robertson and A. Scott. (1997). “Property and Inflation: The Hedging Characteristics of UK Commercial Property 1967-94,”Journal of Real Estate Finance and Economics 15(1): 59-76. Baum, A.E and N. Crosby. (1995). Property Investment Appraisal. Routledge: London. Beauregard, R. (1994). “Capital Switching and the Built Environment,” Environment and Planning (A) 26: 715-732. Bradley, M., D.R. Capozza and P.J. Seguin. (1998). “Dividend Policy and Cash Flow Uncertainty,” Real Estate Economics 26(4): 555-580 233 Bibliography Brock, W. (1991). “Causality, Chaos, Explanation and Prediction in Economics and Finance” in Beyond Belief: Randomness, Prediction and Explanation in Science. Casti, J. and Karlquist, A. (eds) (CRC Press, Boca Raton, Fla.) Brooks, C. and S. Tsolacos. (1999). “The Impact of Economic and Financial Factors on UK Property Performance,” Journal of Property Research 16(2): 139-152. Bulmash, S and G. Trivoli. (1991). “Time-lagged Interaction between Stock Prices and Selected Economic Variables,” Journal of Portfolio Management (Summer): 61-67. Campbell, J.Y. (1987). “Stock Returns and the Term Structure,” Journal of Financial Economics 18(2): 373-399. Capozza, D.R. and P.J. Seguin. (2000). “Debt, Agency and Management Contracts in REITs: The External Advisor Puzzle,” The Journal of Real Estate Finance and Economics 20(2): 91116. Case, K. and R.J. Shiller. (1989). “The Efficiency of the Market for Single Family Homes,” American Economic Review 79(1): 125-137. Case, K. and R.J. Shiller. (1990). “Forecasting Prices and Excess Returns in the Housing Market,” Journal of the American Real Estate and Urban Economics Association. 18(3): 253273. Chan, K.C., P.H. Hendershott and A.B. Sanders. (1990). “Risk and Return on Real Estate: Evidence from Equity REITs,” Journal of the American Real Estate and Urban Economics Association 18(4): 431-452. Chatrath, A. and Y. Liang. (1998). “REITs and Inflation: A Long-Run Perspective,” Journal of Real Estate Research 16(3): 311-325. Chau, K.W., B.D. MacGergor and G.M. Schwann. (2001). “Price Discovery in the Hong Kong Real Estate Market,” Journal of Property Research 18(3): 187-216. Chaudhry, M.K., F.C.N. Myer and J.R. Webb. (1999). “Stationarity and Cointegration in Systems with Real Estate and Financial Assets,” Journal of Real Estate Finance and Economics 18(3): 339-349. Chen, K.C., P.H. Hendershott, and A.B. Sanders. (1990). “Risk and Return on Real Estate: Evidence from Equity REITs,” AREUEA Journal 18:431-452. Chen, N., R.R. Roll and S.A. Ross. (1986). “Economic Forces and the Stock Market,” Journal of Business 59(3): 383-404. Cheng H.H. and J.D. Peterson. (1997). “Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?” Real Estate Economics 25(2): 321-345. Cheung, Y.-W. (1993). “Long Memory in Foreign-exchange Rates,” Journal of Business and Economic Statistics 11(1): 93-101. Cheung, Y.-W. and K.S. Lai. (1993). “A Fractional Cointegration Analysis of Purchasing Power Parity,” Journal of Business and Economic Statistics 11(1): 103-112. Cheung, Y.-W. and K.S. Lai. (1995). “A Search for Long Memory in International Stock Market Returns,” Journal of International Money and Finance 14(4): 597-615. 234 Bibliography Chin, W. (2001). “Factors for Determining the Office Markets in Southeast Asian Cities with reference to Hong Kong, Singapore, Taipei, Bangkok and Kuala Lumpur.” Paper at RICS Cutting Edge 2001 Conference, Oxford. Chun, G.H., B.A. Ciochetti and J.D. Shilling. (2000). “Pension-plan Real Estate Investment in an Asset-liability Framework,” Real Estate Economics 28(3): 467-491. Clare, A.D. and S.H. Thomas. (1994). “Macroeconomic Factors, the APT and the UK Stock Market,” Journal of Business Finance & Accounting 21(3): 309-330. Clayton, J. (1996). “Market Fundamentals, Risk and the Canadian Property Cycle: Implication for Property Valuation and Investment Decisions,” Journal of Real Estate Research 12(3): 347367. Clayton, J. (19970. “Are Housing Price Cycles Driven by Irrational Expectations?” Journal of Real Estate Finance and Economics 14 (3): 341-363. Clayton, J. and G. MacKinnon. (2000). “Measuring and Explaining Changes in REIT liquidity: Moving Beyond the Bid-ask Spread,” Real Estate Economics 28(1): 89-115. Conner, P., R. Hess and Y. Liang. (2001). Value and Stability – Commercial Real Estate in Diversified Portfolios. Prudential Real Estate Investors. Corbae, D. and S. Ouliaris. (1988). “Cointegration and Tests of Purchasing Power Parity,” Review of Economics and Statistics 70:508-511. Corcoran, P.J. (1987). “Explaining the Commercial Real Estate Market,” Journal of Portfolio Management 13(3): 15-21. Corgel, J. B., W. McIntosh and S.H. Ott. (1995). “Real Estate Investment Trusts: A Review of the Financial Economics Literature,” Journal of Real Estate Literature, 3:13-43. Craft, T. M. (2001). “The role of private and public real estate in pension plan portfolio allocation choices,” Journal of Real Estate Portfolio Management 7(1): 17-23. Damodaran, A. and C. Liu. (1993). “Insider Trading as a Signal of Private Information,” The Review of Financial Studies 6(1): 79-119. Dickey, D.A. and W.A. Fuller. (1979). “Distribution of the Estimations for Autoregressive Time Series With a Unit Root,” Journal of the American Statistical Association 74(366): 427431. Diebold, F.X. and G.D. Rudebusch. (1989). “Long Memory and Persistence in Aggregate Output,” Journal of Monetary Economics 24(2): 189-209. Diebold, F.X. and G.D. Rudebusch. (1991a). “On the Power of Dickey-Fuller Tests Against Fractional Alternatives,” Economics Letters 35(2): 155-160. Diebold, F.X. and G.D. Rudebusch. (1991b). “Is Consumption Too Smooth? Long Memory and the Deaton Paradox,” Review of Economics and Statistics 73(1): 1-17. Diebold, F.X., J. Gardeazabal and K. Yilmaz. (1994). “On Cointegration and Exchange Rate Dynamics,” Journal of Finance 49(2): 727-735. Dijk, D. and P.H. Franses. (2000). “Nonlinear Error-correction Models for Interest Rates in the Netherlands,” In W.A. Barnett (ed.), Nonlinear Econometric Modeling in Time Series: 235 Bibliography Proceedings of the Eleventh International Symposium in Economic Theory, Cambridge University Press: New York. Dipasquale, D. and W.C. Wheaton. (1992). “The Markets for Real Estate Assets and Space: A Conceptual Framework,” Journal of the American Real Estate and Urban Economics Association 20 (1): 181-197. Dipasquale, D. and W.C. Wheaton. (1996). Urban Economics and Real Estate Markets. Prentice Hall: New Jersey. Enders, W. (1995). Applied Econometric Time Series. John Wiley & Sons: New York. Eichholtz, P. and D. Hartzell. (1996). “Property Shares, Appraisals and the Stock Market: An International Perspective,” Journal of Real Estate Finance and Economics 12(2): 163-178. Engle, R.F. and C.W.J. Granger. (1987). “Co-Integration and Error Correction: Representation, Estimation, and Testing,” Econometrica 55(2): 251-276. Fair, R.C. and R.J. Shiller. (1990). ‘Comparing Information in Forecasts from Econometric Models,” American Economic Review 80(3): 375-389. Fama, E. F. (1981). “Stock Returns, Real Activity, Inflation and Money,” The American Economic Review 71: 545-565. Ferson, W. (1989). “Changes in Excepted Security Returns, Risk, and Level of Interest Rates,” Journal of Finance 44(5): 1191-1217. Ferson, W. (1990). “Are the Latent Variables in Time-Varying Expected Returns Compensation for Consumption Risk?” Journal of Finance 45(2): 397-430. Findlay, M.C. and E.E. Williams. (1980). “A Positivist Evaluation of the New Finance,” Financial Management 9(2): 7-17. Findlay, M.C. and E.E. Williams. (1985). “A Post Keynesian View of Modern Financial Economics: In Search of Alternative Paradigms,” Journal of Business Finance and Accounting 12(1): 1-17. Fisher, J.D. (1992). “Integrating Research on Markets for Space and Capital,” Journal of the American Real Estate and Urban Economics Association 20 (1): 161-180. Fisher, J.D., S.H. Wilson and C.H. Wurtzebach. (1993). “Equilibrium in Commercial Real Estate Markets: Linking Space and Capital Markets,” Journal of Portfolio Management. 19(4): 101-107. Fisher, J.D, D.M. Geltner and R.B. Webb. (1994). “Value Indices of Commercial Real Estate: A Comparison of Index Construction Methods,” Journal of Real Estate Finance and Economics 9(2): 137-164. Friday, H.S., G.S. Sirmans and C.M. Conover. (1999). “Ownership Structure and the Value of the Firm: The Case of REITs,” Journal of Real Estate Research 17(1-2): 71-90. Fu, Y. and L.K. Ng. (2001). “Market Efficiency and Return Statistics: Evidence from Real Estate and Stock Markets using a Present-Value Approach,” Real Estate Economics 29(2): 227-250. 236 Bibliography Gau, G.W. and K. Wong. (1990). “A Further Examination of Appraisal Data and the Potential Bias in Real Estate Return Indices,” Journal of the American Real Estate and Urban Economics Association 18(1): 40-48. Geltner, D.M. (1989a). “Bias in Appraisal-Based Returns,” AREUEA Journal 17(3): 338-352. Geltner, D.M. (1989b). “Estimating Real Estate’s Systematic Risk from Aggregate Level Appraisal-Based Returns,” AREUEA Journal 17(4): 463-481. Geltner, D.M. (1990). “Return Risk and Cash Flow Risk with Long-term Riskless Leases in Commercial Real Estate,” AREUEA Journal 18(4): 377-402. Geltner, D.M. (1991). “Smoothing in Appraisal-Based Returns,” Journal of Real Estate Finance and Economics 4(3): 327-345. Geltner, D.M. (1993a). “Estimating Market Values from Appraisal Values Without Assuming an Efficient Market,” Journal of Real Estate Research 8(3): 325-346. Geltner, D.M. (1993b). “Temporal Aggregation in Real Estate Return Indices,” Journal of the American Real Estate and Urban Economics Association 21(2): 141-166. Geweke, J. and S.P. Hudak. (1983). “The Estimation and Application of Long Memory Time Series Models,” Journal of Time Series Analysis 4(3): 221-238. Ghosh, C, M. Miles and C.F. Sirmans. (1996). “Are REITs Stocks?” Real Estate Finance 13(3): 46-53. Giaccotto, C and J. Clapp. (1992). “Appraisal-based Real Estate Returns Under Alternative Market Regimes,” AREUEA Journal 20(1): 1-25. Giliberto, S.M. (1988). “A Note on the Use of Appraisal Data in Indices of Performance Measurement,” AREUEA Journal 16(1): 77-83. Giliberto, S.M. (1990). “Equity Real Estate Investment Trusts and Real Estate Returns,” The Journal of Real Estate Research 5(2): 259-263. Giliberto, S.M. (1993). “Measuring Real Estate Returns: The Hedged REIT Index,” The Journal of Portfolio Management 19(3): 94-99. Giliberto, S.M. and A. Mengden. (1996). “REITs and Real Estate: Two Markets Reexamined,” Real Estate Finance 13(3): 56-60. Glascock, J.L. (1991). “Market Conditions, Risk, and Real Estate Portfolio Returns: Some Preliminary Evidence,” Journal of Real Estate Finance and Economics 4(4): 367-373. Glascock, J.L., C. Lu and W.S. Raymond. (2000). “Further Evidence on the Integration of REIT, Bond, and Stock Returns,” Journal of Real Estate Finance and Economics 20(2): 177194. Goegel, P.R. and K.S. Kim. (1989). “Performance Evaluation of Finite-life Real Estate Investment Trusts,” Journal of Real Estate Research 4: 57-69. Granger, C.W.J. (1969). “Investigating Causal Relations by Econometric Models and CrossSpectral Methods,” Econometrica 37(3): 424-438. 237 Bibliography Granger, C.W.J. (1980). “Long Memory Relationships and the Aggregation of Dynamic Models,” Journal of Econometrics 14(2): 227-238. Granger, C.W.J. (1986). “Developments in the Study of Cointegrated Variables,” Oxford Bulletin of Economics and Statistics 48(3): 213-228. Granger, C.W.J. (1989). Forecasting in Business and Economics. 2nd ed. Academic Press: San Diego. Granger, C.W.J. and P. Newbold. (1974). “Spurious Regressions in Econometrics,” Journal of Econometrics 2(2): 111-120. Granger, C.W.J. and R. Joyeux. (1980). “An Introduction to Long Memory Time Series Models and Fractional Differencing,” Journal of Time Series Analysis 1(1): 15-39. Granger, C.W.J. and R. Joyeux. (1981). “Some Properties of Time Series Data and Their Use in Econometric Model Specification,” Journal of Econometrics 16(1): 121-130. Groenewold, N. and P. Fraser. (1997). “Share Prices and Macroeconomic Factors,” Journal of Business Finance & Accounting 24(9): 1367-1383. Gyourko, J. and P. Linneman. (1988). “Owner-occupied Homes, Income-producing Properties, and REITs as Inflation Hedges: Empirical Findings,” Journal of Real Estate Finance and Economics 1: 347-372. Gyourko, J. and D.B. Keim. (1992). “What Does the Stock Market Tell Us About Real Estate Returns?” AREUEA Journal 20(3): 457-485. Hakkio, C.S. and M. Rush. (1991). “Cointegration: How Short is the Long Run?” Journal of International Money and Finance 10(4): 571-581. Hamilton, J. (1994). Time Series Analysis. Princeton University Press: Princeton, NJ. Hansen, L.P. and R. Hodrick. (1983). “Risk Averse Speculation in the Forward Foreign Exchange Market: An Economic Analysis of Linear Models,” In J. Frankel (ed.), Exchange Rates and International Macroeconomics, University of Chicago Press: Chicago, IL. Hartzell, D. (1986). “Real Estate in the Portfolio,” F.J. Fabozzi (ed.), The Institutional Investor: Focus on investment Management. Ballinger: Cambridge, MA. Hartzell, D. and J.R. Webb. (1988). “Real Estate Risk and Return Expectations: Recent Survey Results,” Journal of Real Estate Research 3(3): 31-38. Hartzell, D., J.S. Hekman and M.E. Miles. (1987). “Real Estate Returns and Inflation,” AREUEA Journal 15: 617-637. Harvey, D. (1982). The Limits to Capital. Oxford, Blackwell. Harvey, D. (1985). The Urbanization of Capital. Oxford, Blackwell. Harvey, D. (1989). The Condition of Postmodernity: An Enquiry into the Origins of Cultural Change. Oxford, Blackwell. Harvey, J. (1996). Urban Land Economics. Macmillian: Basingstoke, Hampshire. 238 Bibliography Hashemzadeh, N. and P. Taylor. (1998). “Stock Prices, Money Supply, and Interest Rates: The Question of Causality,” Applied Economics 20: 1603-1611. Hiemstra, C. and D.J. Jones. (1994). “Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation,” Journal of Finance 49(5): 1639-1664. Hosking, J.R.M. (1981). “Fractional Differencing,” Biometrika 68(1): 165-176. Ibbotson, R. and L. Siegel. (1984). “Real Estate Returns: A Comparison with Other Investment,” AREUEA Journal 12(3): 219-241. Johansen, S. (1988). “Statistical Anlaysis of Cointegrated Vectors,” Journal of Economic Dynamics and Control 12(2-3): 231-254. Johansen, S. (1991). “Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Models,” Econometrica 59(6): 1551-1580. Johansen, S. and K. Juselius. (1990). “Maximum Likelihood Estimation and Inference on Cointegration – with Application to the Demand for Money,” Oxford Bulletin of Economics and Statistics 52(2): 169-210. Jones Lang Wootton (JLW) Research. Report Property Market, various issues. Jones Lang Wootton (JLW) Research. Asia Pacific Property Digest, various issues. Jones Lang LaSalle (JLL) Research. Report Property Market, various issues. Jud, G.D. and D.T. Winkler. (1995). “The Capitalization Rate of Commercial Properties and Market Returns,” Journal of Real Estate Research 10(5): 509-518 Judd, C.M., E.R. Smith and H.K. Louise. (1991). Research Methods in Social Relations. Holt, Rinehart & Winston: New York and London. Khoo, T., D. Hartzell and M. Hoesli. (1993). “An Investigation of the Change in Real Estate Investment Trust Betas,” Journal of the American Real Estate and Urban Economics Association 21(2): 107-130. Kim, Y. (1990). “Purchasing Power Parity: Another Look at the Long-Run Data,” Economics Letters 32:334-339. Kim, M.K. and C. Wu. (1987). “Macroeconomic Factors and Stock Returns,” Journal of Financial Research 10(2): 87-98. Kling, J.L. and T.E. McCue. (1987). “Office Building Investment and the Macroeconomy: Empirical Evidence, 1973-1985,” AREURA Journal 15(3): 234-255. Knight Frank Research. Asia Pacific Property Review, various issues. Kwon, C.S, T.S. Shin and F.W. Bacon. (1997). “The Effect of Macroeconomic Variables on Stock Market Returns in Developing Markets,” Multinational Business Review 5(2): 63-70. Larsen A.B. and G.R. McQueen. (1995). “REITs, Real Estate, and Inflation: Lessons from the Gold Market,” Journal of Real Estate Finance and Economics 10(3): 285-297. 239 Bibliography Lawrence, C. and A. Siow. (1985). “Interest Rates and Investment Spending: Some Empirical Evidence for Postwar U.S. Producer Equipment, 1947-1980,” Journal of Business 58(4): 359375. Lee, A. (1995). “Towards the Development of Performance Measures for Commercial Real Estate in Singapore,” International Congress on Real Estate: Singapore. Lend Lease Real Estate Investment (2002). The Case for Real Estate. Li, W.K. and A.I. McLeod. (1986). “Fractional Time Series Modeling,” Biometrica 73(1): 217-221. Li, Y. and K. Wang. (1995). “The Predictability of REIT Returns and Market Segmentation,” Journal of Real Estate Research 10(4): 471-482. Liang, Y., W. McIntosh and J.R. Webb. (1995). “Intertemporal Changes in the Riskiness of REITs,” Journal of Real Estate Research 10(4): 427-443. Liang. Y, A. Chatrath and W. McIntosh. (1996). “Apartment REITs and Apartment Real Estate,” Journal of Real Estate Research 11(3): 277-289. Liang, Y. and W. McIntosh. (1998). “REIT Style and Performance,” Journal of Real Estate Portfolio Management 4(1): 69-78. Liao, H.H. and J.P. Mei. (1998). “Risk Characteristics of Real Estate Related Securities-An Extension of Liu and Mei (1992),” Journal of Real Estate Research 16(3): 279-290. Lien, D. and Y.K. Tse. (1999). “Forecasting the Nikkei Spot Index with Fractional Cointegration,” Journal of Forecasting 18(4): 259-273. Ling, D.C. and A. Naranjo. (1997). “Economic Risk Factors and Commercial Real Estate Returns,” Journal of Real Estate Finance and Economics 14(3): 283-307. Ling, D.C. and A. Naranjo. (1999). “The Integration of Commercial Real Estate Markets and Stock Market,” Real Estate Economics 27(3): 483-515. Liow, K.H. (1996). “Property Companies’ Share Price Discounts and Property Market Returns: The Singapore Evidence,” Journal of Property Finance 7(4): 64-77. Liow, K.H. (1997). “Commercial Real Estate Prices and Macroeconomic Factors – Some Singapore Evidence,” Proceedings of Second Asia Pacific Property Research Conference Singapore. Liow, K.H. (1998). “Singapore Commercial Real Estate and Property Equity Markets: Close Relations?” Real Estate Finance 15(1): 63-71. Liow, K.H. (1999). “Corporate Investment and Ownership in Real Estate in Singapore – Some Empirical Evidence,” Journal of Corporate Real Estate 1(4): 329-342. Liow, K.H. (2000). “The Dynamics of the Singapore Commercial Property Market,” Journal of Property Research 17(4): 279-291. Liow, K.H. (2002). “Relationship Between Stock and Property Markets,” Working Paper. Department of Real Estate, National University of Singapore. 240 Bibliography Liu, C.H., D.J. Hartzell, W. Greig and T.V. Grissom. (1990). “The Integration of the Real Estate Market and the Stock Market: Some Preliminary Evidence,” Journal of Real Estate Finance and Economics 3(3): 261-282. Liu, C.H. and J. Mei. (1992). “The Predictability of Returns on Equity REITs and Their Comovement with Other Assets,” Journal of Real Estate Finance and Economics 5(4): 299-319. Lizieri, C. and S. Satchell. (1997a). “Property Company Performance and Real Interest Rates: A Regime Switching Approach,” Journal of Property Research 14(2): 85-97. Lizieri, C. and S. Satchell. (1997b). “Interactions between Property and Equity Markets: An Investigation of Linkages in the United Kingdom 1972-1992,” Journal of Real Estate Finance and Economics 15(1): 11-26. Louargand, M. (1992). “A Survey of Pension Fund Real Estate Portfolio Risk Management Practices,” Journal of Real Estate Research 7(4): 361-373. Ma, Y. and A. Kanas. (2000). “Testing for a Nonlinear Relationship among Fundamentals and Exchange Rates in the ERM,” Journal of International Money and Finance 19(1): 135-152. Ma, Y. and A. Kanas. (2000). “Testing for Nonlinear Granger Causality from Fundamentals to Exchange Rates in the ERM,” Journal of International Financial Markets, Institutions & Money 10(1): 69-82. MacKinnon, J.G. (1991). “Critical Values for Cointegration Tests,” Chapter 13 in R.F. Engle and C.W.J. Granger (eds.), Long-run Economic Relationships: Readings in Cointegration, Oxford University Press. Mark, N.C. (1990). “Real and Nominal Exchange Rates in the Long Run,” Journal of International Economics 28: 115-136. Maysami, R.C. and T.S. Koh. (2000). “A Vector Error Correction Model of the Singapore Stock Market,” International Review of Economics and Finance 9(1): 79-96. Matysiak, G.A, M. Hoesli., B. MacGregor and N. Nanthakumaran. (1996). “The long-term inflation-hedging characteristics of UK commercial property,” Journal of Property Finance 7(1): 50-61. McCue, T.E. and J.L. Kling. (1994). “Real Estate Returns and the Macroeconomy: Some Empirical Evidence from Real Estate Investment Trust Data, 1972-1991,” Journal of Real Estate Research 9(3): 277-287. Mei J. and A. Lee. (1994). “Is There A Real Estate Factor Premium?” Journal of Real Estate Finance and Economics 9(2): 113-126. Miles, D. (1996). “ Property and Inflation,” Journal of Property Finance 7(1): 21-31. Miles, M. and T. McCue. (1984). “Commercial Real Estate Returns,” AREUEA Journal 12:355-377. Mills, T.C. (1990). Time Series Techniques for Economists. Cambridge: Cambridge University Press. 241 Bibliography Mukherjee, T.K. and A. Naka. (1995). “Dynamic Relations between Macroeconomic Variables and the Japanese Stock Market: An Application of a Vector Error-Correction Model,” Journal of Financial Research 18(2): 223-237. Myer, F.C.N. and J.R. Webb. (1993). “Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison,” Journal of Real Estate Research 8(1): 87-106. Nasseh A. and J. Strauss. (2000). “Stock Prices and Domestic and International Macroeconomic Activity: A Co-integration Approach,” The Quarterly Review of Economics and Finance 40(2): 229-245. Newell, G. and G. Matysiak. (1997). “An Empirical Investigation into the Presence of Chaotic Behavior in UK Property Markets,” Royal Institution of Chartered Surveyors Report Newell, G., G. Matysiak and P. V. Rowland. (1997). “Do Property Company Shares Perform in the Same Way as the Property Market,” Royal Institution of Chartered Surveyors Report Newell, G. and J. MacFarlane. (1995). “Improved Risk Estimation Using Appraisal-smoothed Real Estate Returns,” Journal of Real Estate Portfolio Management 1(1): 51-57. Newell, G. and J. MacFarlane. (1996). “What Does Property Trust Performance Tell Us about Commercial Property Returns?” Australian Land Economics Review 2(1): 10-19. Newell, G., K.H. Ting and P. Acheampong. (2002). “Listed Property Trusts in Malaysia,” Journal of Real Estate Literature 10(1): 109-118. Newell, G. and K.W. Chau. (1996). “Linkages Between Direct and Indirect Property Performance in Hong Kong,” Journal of Property Finance 7(4): 9-29. Newell, G., M. Stevenson and M. Peat. (1998). “In Search of Chaos,” Journal of the Australian Securities Institute Spring: 13-15. Newell. G., P. Acheampong and P. Kottegoda. (1999). “Assessing the Level of Direct Property in Property Trust Performance,” Proceedings of 5th PRRES Conference Kuala Lumpur. Newell, G., S. Lee, A. Baum and P. Acheampong. (2000). “The Level of Direct Property in U.K. Property Company Performance,” Proceedings of Royal Institution of Chartered Surveyors “The Cutting Edge 2000” Conference. Okunev, J. and P.J. Wilson. (1997). “Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Markets,” Real Estate Economics 25(3): 487-503. Okunev, J., P.J. Wilson, and R. Zurbruegg. (2000). “The Causal Relationship between Real Estate and Stock Markets,” Journal of Real Estate Finance and Economics 21(3): 251-261. Ong, S.E. (1994). “Structural and Vector Autoregressive Approaches to Modeling Real Estate and Property Stock Prices in Singapore,” Journal of Property Finance 5(4): 4-18. Ong, S.E. (1995). “Singapore Real Estate and Property Stocks-A Co-Integration Test,” Journal of Property Research 12(1): 29-39. Osterwald-Lenum, M. (1992). “A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegrating Rank Test Statistics,” Oxford Bulletin of Economics and Statistics 54(3): 461-471. 242 Bibliography Pagliari, J.L. and J.R. Webb. (1995). “A Fundamental Examination of Securitized and Unsecuritized Real Estate,” Journal of Real Estate Research 10(4): 381-426. Park. J. Y., D. J. Mullineaux and I. K. Chew. (1990). “Are REITs Inflation Hedges?” Journal of Real Estate Finance and Economics 3: 91-103. Perron P. (1989). “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,” Econometrica 57(6): 1361-1401. Perron, P. and T.J. Vogelsang. (1992). “Nonstationarity and Level Shifts with an Application to Purchasing Power Parity,” Journal of Business and Economic Statistics 10(3): 301-320. Pesaran, M.H. (1997). “The Role of Economic Theory in Modeling the Long Run,” Economic Journal 107(440): 178-191. Phillips, P.C.B. (1991). “Optimal Inference in Cointegrated Systems,” Econometrica 59(2): 283-306. Poter-Hudak, S. (1990). “An Application of the Seasonal Fractionally Differenced Model to the Monetary Aggregates,” Journal of the American Statistical Association 85(410): 338-344. Poon, S. and S.J. Taylor. (1991). “Macroeconomic Factors and The UK Stock Market,” Journal of Business Finance & Accounting 18(5): 619-636. Pierce, D.A. and L.D. Haugh. (1977). “Causality Intemporal Systems: Characterizations and a Survey,” Journal of Econometrics 5(3): 265-293. Prudential Real Estate Investors. (2003). Market Perspective: First Quarter 2003. Pyhrr, S., F. Cooper, L. Wofford, S. Kapplin, and P. Lapides. (1989). Real Estate Investment: Strategy, Analysis, Decisions (2nd ed.). Wiley: New York. Quan. D.C. and S. Titman. (1999). “Do Real Estate Prices and Stock Prices Move Together? An International Analysis,” Real Estate Economics 27(2): 183-207. Rapach, D.E. (2001). “Macro Shocks and Real Stock Prices,” Journal of Economics and Business 53(1): 5-26. Rahman, M. and M. Mustafa. (1997). “Dynamic Linkages and Granger Causality Between Short-term U.S. Corportate Bond and Stock Markets,” Applied Economic Letters 4: 89-91. Robinson, P. M. (1992). “Semiparametric Analysis of Long-Memory Time Series,” Annals of Statistics 22(1): 515-539. Rosen, K.T. (1984). “Toward a Model of the Office Building Sector,” AREUEA Journal 12(3): 261-269. Ross, S.A. and R.C. Zisler. (1991). “Risk and Return in Real Estate,” Journal of Real Estate Finance and Economics 4(2): 175-190. Ryan, R.J. (1982). “Capital Market Theory – A Case Study in Methodological Conflict,” Journal of Business Finance and Accounting 9(4): 443-459. Said, S.E. and D.A. Dickey. (1984). “Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order,” Biometrica 71(3): 599-607. 243 Bibliography Seck D. (1996). “The Substitutability of Real Estate Assets,” Real Estate Economics 24(1): 7595. Seiler. M.J., J.R. Webb and F.C.N. Myer. (1999). “Diversification Issues in Real Estate Investment,” Journal of Real Estate Literature 7(2): 163-179. Shea, G.S. (1991). “Uncertainty and Implied Variance Bounds in Long-Memory Models of the Interest Rate Term Structure,” Empirical Economics 16(2): 287-312. Singapore Department of Statistics. (1999). Implementation of SSIC 1996 in the National Accounts: New Reporting Format for Output Based GDP. Sims, C. (1972). “Money, Income and Causality,” American Economic Review 62(4): 540552. Sing, T.F. (2001). “Dynamics of the Condominium Market in Singapore,” International Real Estate Review 4(1): 135-158. Sirmans, G.S. and C. F. Sirmans. (1987). “The Historical Perspective of Real Estate Returns,” Journal of Portfolio Management 13:22-31. Sowell, F.B. (1990). “The Fractional Unit Root Distribution,” Econometrica 58(2): 495-505. Sowell, F.B. (1992). “Maximum Likelihood Estimation of Stationary Univariate Fractionallyintegrated Time-series Models,” Journal of Econometrics 53(1-3): 165-188. Spek M.V.D. and L.V. Doorn-Gröniger. (2001). The Role of Real Estate in a Balanced Portfolio. ING Real Estate Asset Management. Steinert, M. and S. Crowe. (2001). “Global Real Estate Investment: Characteristics, Optimal Portfolio Allocation and Future Trends,” Pacific Rim Property Research Journal 7(4): 223-239. Taylor, M. P. (1988). “An Empirical Examination of Long Run Purchasing Power Parity Using Cointegration Techniques,” Applied Economics 20: 1360-1381. Terris, D.D. and F.C.N. Myer. (1995). “The Relationship between REITs and Healthcare Stocks,” Journal of Real Estate Research 10(4): 483-494. The, K.P and T. Shanmugaratnam. (1992). “Exchange Rate Policy: Philosophy and Conduct over the Past Decade,” In L. Low and M.H. Toh (Eds), Public Policies in Singapore: Changes in the 1980s and Future Signpost (pp, 285-314). Times Academic Press: Singapore. Ting, K.H. (2002). “Real Estate Investment Trusts: Will They Take Off?” Australian Property Journal 37(1): 50-54. Tse, R. Y. C. (2001). “Impact of Property Prices on Stock Prices in Hong Kong,” Review of Pacific Basin Financial Markets and Policies 4(1): 1-15. Tse, R.Y.C and J.R. Webb. (2000). “Public versus Private Real Estate in Hong Kong,” Journal of Real Estate Portfolio Management 6(1): 53-60. Tsolacos S. (1995). “An Econometric Model of Retail Rents in the United Kingdom,” The Journal of Real Estate Research 10(5): 519-529. 244 Bibliography Tuluca, S.A., F.C.N. Myer and J.R. Webb. (2000). “Dynamics of Private and Public Real Estate Markets,” Journal of Real Estate Finance and Economics 21(3): 279-296. Wang, P. (2001). Econometric Analysis of the Real Estate Market and Investment. Routledge: London and New York. Wasserfallen, W. (1989). “Macroeconomics News and the Stock Market,” Journal of Banking and Finance 13(4-5): 613-626. Weimer, A.M. (1966). “Real Estate Decisions are Different,” Harvard Business Review (December): pp. 105-112. Wilson, P.J. and J. Okunev. (1996). “Evidence of Segmentation in Domestic and International Property Markets,” Journal of Property Finance. 7(4): 78-97. Wilson, P. J., J. Okunev and G. Ta. (1996). “Are Real Estate and Securities Markets Integrated? Some Australia Evidence,” Journal of Property Valuation & Investment 14(5): 724. Wilson P.J., J. Okunev and J.R. Webb. (1998). “Step Interventions and Market Integration: Tests in the U.S., U.K., and Australia Property Markets,” Journal of Real Estate Finance and Economics 16(1): 91-123. Wheaton, W.C. (1987). “The Cyclical Behavior of the National Office Market,” Journal of American Real Estate and Urban Economics Association 15(4): 281-299. World Economic Forum. (2001-2002). The Global Competitiveness Report. Yip, P. (1996). “Exchange Rate Management in Singapore,” In L.C. Tah (Ed.), Economic Policy Management in Singapore (pp. 237-273). Addison-Wesley: Singapore. Young, P., et al. (1990). “Improved Business Planning through an Awareness of Political Cycles,” Journal of Forecasting 9(1): 37-52. Zivot, E. and D.W.K. Andrews. (1992). “Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit Root Hypothesis,” Journal of Business and Economic Statistics 10(3): 251-270. 245 [...]... stock markets (b) Examine the causal relationship between the commercial real estate and the stock markets (c) Investigate the long-run and short-term relations between the commercial real estate and the stock markets in the context of the macroeconomy 1.3 Research Questions Specifically, this dissertation is conducted to address the following research questions: Question 1: Is the commercial real estate. .. integrated with the stock market? Question 2: What is the causal relationship between the commercial real estate (office) and the stock markets? Question 3: Is there a long-run relationship between the commercial real estate (office) market, the stock market and key macroeconomic variables? What are the implications of the nature of the long-run relationship, if found, for the short-term dynamics 16 Hong... Relationship Between the Direct and Indirect Real Estate Markets 52 2.4 Summary of Studies on the Integration between Real Estate and Stock Markets with Asset-pricing Framework 57 2.5 Summary of Studies on the Integration between Real Estate and Stock Markets by Modeling the Relations Between Asset Prices 59 2.6 Summary of Studies on the Relationships Between Stock Market and Macroeconomic... (Sing, 2001) Furthermore, the interaction between the general asset market and macroeconomic conditions compounds the perplexity To have a holistic understanding of our theme – the dynamic relationship between the commercial real estate asset market and stock market – it is important to take into consideration the interaction among the commercial real estate space market, commercial real estate asset... the demand for commercial real estate space The dual functions of commercial real estate thus suggest that there are two distinct but interrelated real estate markets: the market for tenant space (space market) and the market for investment capital (the asset market) (Dipasquale and Wheaton, 1992) The demand for commercial real estate space as a factor of production is linked to the conditions of the. .. interaction between commercial real estate market and financial sectors, especially the stock market, increasing attention has been focused on the relationship between the commercial real estate and stock markets As an asset, commercial real estate has received renewed attraction from many investment programs, especially at a time when the high-return boom years fade In the past decade, commercial real estate, ... more about the commercial real estate market through studying the process of price discovery between the commercial real estate and the general stock markets For practitioners, the dynamic relationship between these two asset markets has important significance for portfolio diversification, strategic management of corporate commercial real estate, and market structure and policy-making From the portfolio... reflecting real estate fundamental; 8 More details about the relationships between the securitized and unsecuritized real estate markets are available in the Chapter Two 6 Chapter 1 Introduction b) Securitized real estate performance leads the underlying real estate performance; c) There is a long-term equilibrium relationship between securitized real estate and its underlying real estate market in the context... the economy and as an important component in the mixed-asset portfolio, direct commercial real estate is less understood than stock and fixed income securities, especially where its relationship with other two asset markets is concerned While sporadic studies appeared in exploring the relationship between the commercial real estate and stock markets by using securitized real estate as a proxy for the. .. the relationship between the commercial real estate and stock markets would provide useful insights into the underlying mechanism in which the commercial real estate market is correlated with the common stock market, which therefore allows us to capture more economic implications Finally, the examination of the causal relationship between the two asset markets may prove useful in learning more about the . order to uncover the complex interrelation between commercial real estate and stock markets. The dynamic relationship between commercial real estate and stock markets is then addressed in. Issues in Real Estate Return and Risk 62 2.4 The Macroeconomic Factors Influencing Real Estate and Stock Markets 65 2.4.1 Stock and the Macroeconomy 66 2.4.2 Real Estate and the Macroeconomy. Pure Real Estate Factor in Indirect Real Estate 36 2.2.2 Causal Relationship Between Direct and Indirect Real Estate 43 2.2.3 Long-run Relationship Between Direct and Indirect Real Estate

Ngày đăng: 17/09/2015, 17:19

TỪ KHÓA LIÊN QUAN

TÀI LIỆU CÙNG NGƯỜI DÙNG

TÀI LIỆU LIÊN QUAN

w