Untitled

Glascock, John L.; Lu, Chiuling; So, Raymond

doi:10.1023/a:1007877321475

Cited by 240 publications

(33 citation statements)

References 22 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…This indicated that prices of housing with larger area are higher. House age was found to have a significant and negative effect on housing prices, which corresponded to the results reported by Glasock et al (2000), Osland (2010), and Bin and Landry (2013). With time, housing material and facilities become older, which reduces the housing price.…”

Section: Discussionsupporting

confidence: 83%

The Impact of Luxury Housing on Neighborhood Housing Prices: An Application of the Spatial Difference-in-Differences Method

Liang

Lee

Lin

et al. 2020

International Journal of Strategic Property Management

View full text Add to dashboard Cite

This study investigated the spatial spillover effects of luxury housing during and after construction, in regards to increases in housing prices in neighboring areas as well as the spatial dependence of neighboring housing. This study focused on already completed luxury housing in Taipei, Taiwan. First, the nearest-neighbor matching approach of propensity score matching was used to overcome the problem of data heterogeneity. The difference-in-differences (DD) method and spatial econometrics were used for analysis. The empirical results indicated that the spatial error model had the best goodness of fit. This indicated that housing prices increased by 13.0% during construction of luxury housing nearby. This indicated that housing prices increased by 5.8% after the construction of luxury housing nearby. The empirical results showed that the ongoing and completed construction of luxury housing had spillover effects on housing prices. The effect of ongoing construction of luxury housing was particularly large in scope, indicating its role as a predictor of psychological reaction in the market.

show abstract

Section: Discussionsupporting

confidence: 83%

The Impact of Luxury Housing on Neighborhood Housing Prices: An Application of the Spatial Difference-in-Differences Method

Liang

Lee

Lin

et al. 2020

International Journal of Strategic Property Management

View full text Add to dashboard Cite

show abstract

“…However, the results in Panel C for the second sub-period reveal that nonlinear causality runs from equity REIT returns to bonds. These results are consistent with Glascock et al (2000) who contend found REITs behave more like stocks and less like bonds following the structural changes including the 1993 Revenue Reconciliation Act, which took place in the early 1990s. Conclusion: unidirectional nonlinear causality from EQR to BY *** , ** and * indicate significance at the 1%, 5% and 10% level, respectively.…”

Section: Data and Description Statisticssupporting

confidence: 89%

Empirical Evidence on the Asymmetric Relationship between Bond and REIT Returns

Anoruo¹,

Elike²

2015

International Journal of Financial Research

View full text Add to dashboard Cite

This paper examines the asymmetric relationship between bonds and REITs using monthly data from January 1972 through October 2014. In particular, the paper uses the nonlinear Granger causality test developed by Diks and Panchenko to underpin the dynamic interactions between bond yields and REIT returns. The results from the various unit root tests indicate that bond and REIT returns are level stationary. The results from the linear Granger causality test indicate that bond and REIT returns are not causally related. However, the results from the nonlinear Granger causality test results suggest that both bond and REIT returns have causal influence on each other. The results of this study suggest that diversification benefits cannot be attained by combining either all REITs or equity REITs in a portfolio with bonds. However, after the establishment of the 1992 Revenue Reconciliation Act, the results reveal that it is possible for investors to reduce their portfolio risks by combining bonds and mortgage REITs in their portfolios.

show abstract

“…The impact of regional REIT markets could have been subsumed by the domestic stock market factor as evident by the results under the robustness check. Overall, the regression results suggest that M-REITs behave more like stocks and less like bonds, which is consistent with Glascock et al (2000).…”

Section: Introductionsupporting

confidence: 81%

International Real Estate Review

Wong¹

2016

IRER

View full text Add to dashboard Cite

Real estate investment trusts (REITs) are a niche alternative investment class. Since their introduction in Asia at the turn of the millennium, the REIT market in the region has experienced phenomenal growth. In particular, the Malaysia REIT (M-REIT ) market capitalisation has seen a spectacular growth of close to 20 folds from its inception in 2005 until the end of 2013. This paper chronicles the development of the M-REIT market which is rather unique as it provides a common platform for the existence of both conventional and Islamic REITs. Empirical tests are also conducted to uncover the returns characteristics of the M-REIT market. M-REIT returns are significantly correlated with domestic stock markets but only weakly correlated with changes in interest rate, with long-term proxies having a stronger impact than short-term proxies. The results from a correlation analysis are further confirmed by regression testing which shows that M-REIT returns are most significantly driven by domestic stock market returns while only mildly by changes in interest rates and not significantly driven by returns in regional REIT markets. These findings possibly imply that M-REITs (i) subscribe more to the characteristics of equity than those of bonds, (ii) are not 'pure' yield-play instruments, (iii) are often regarded as long-term investment, and (iv) may not be fully integrated with global and regional REIT markets.

show abstract

Untitled

Cited by 240 publications

References 22 publications

The Impact of Luxury Housing on Neighborhood Housing Prices: An Application of the Spatial Difference-in-Differences Method

The Impact of Luxury Housing on Neighborhood Housing Prices: An Application of the Spatial Difference-in-Differences Method

Empirical Evidence on the Asymmetric Relationship between Bond and REIT Returns

International Real Estate Review

Contact Info

Product

Resources

About