Further Evidence on the Integration of REIT, Bond, and Stock Returns
By J. Glascock, Chiuling Lu, Raymond W. So. 2000
357 citations recorded by the source corpus.
Subfields: Accounting, Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/1124b2ce526415829ce4b59e22f48682ae49e3fe
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Citations in the corpus
- The effects of stock liquidity on firm value and corporate governance: Endogeneity and the REIT experiment (2015, background): “The “five or fewer” rule highlights the importance of institutional investors for REITs (see Glascock, Lu, and So (2000) and Crain, Cudd, and higher average institutional ownership than do other industrial firms, and REIT institutional ownership has grown rapidly over time.”
- REIT Characteristics and the Sensitivity of REIT Returns (2000, background): “A recent study by Glascock et al. (2000) explores long-run linkages and causalitites among REIT, bond, and stock returns.”
- Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets (2010, positive): “The finding is consistent with Chandrashekaran (1999) who found that covariability of REIT returns with the general stock market is higher when the REIT index is falling and also Glascock et al. (2000) who found that REITs behave more like small-cap stocks than bonds.”
- The case for REITs in the mixed-asset portfolio in the short and long Run (2005, methodology): “Glascock et al (2000) also found that REITs were co-integrated with the private real estate market.”
- Multivariate Modeling of Daily REIT Volatility (2006, background): “Glascock et al. (2000) report that while the sectors were substitutable prior to 1992, with evidence of cointegration between the two sectors and common driving forces, this affect is not evident in the post-1992 environment. This finding is consistent with the other results from Glascock et al. (20”
- A New Class of Tests of Contagion With Applications (2008, methodology): “In this context the model proposed here is related to the recent work of Guidolin and Timmermann (2008) where the conditional moments are expressed in terms of the states of nature.”