The cyclical relations between traded property stock prices and aggregate time-series

Article English OPEN
Brooks, Chris; Tsolacos, Sotiris; Lee, Stephen;
(2000)

This paper examines the cyclical regularities of macroeconomic, financial and property market aggregates in relation to the property stock price cycle in the UK. The Hodrick Prescott filter is employed to fit a long-term trend to the raw data, and to derive the short-te... View more
  • References (7)

    Liu, C.H. and Mei, J. (1992) The predictability of returns on equity REITs and their co-movement with other assets, Journal of Real Estate Finance and Economics 5, 401-18.

    Lizieri, C. and Satchell, S. (1997) Property company performance and real interest rates: a regime switching approach, Journal of Property Research 14, 85-97.

    McCue, T.E. and Kling, J.L. (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), 5-32.

    Mei, J and Liu, C.H. (1994) The predictability of real estate returns and market timing, Journal of Real Estate Finance and Economics 8, 115-35.

    Mueller,G. and Pauley, K. (1995) The effect of interest-rate movements on real estate investment trusts, Journal of Real Estate Research 10(5), 319-25.

    Nelson, C. and Plosser, C. (1982) Trends and random walks in macroeconomic time series, Journal of Monetary Economics 10, 139-62.

    Pesaran, H.M. and Timmermann, A. (1995) Predictability of stock returns: robustness and economic significance, Journal of Finance L(4), 1201-28.

  • Metrics
Share - Bookmark