Real Estate Investment Trusts - Journal Papers and Book Chapters

  • “Low Frequency Volatility of Real Estate Securities and Macroeconomic Risk”, (with Chyi Lin Lee & Ming Long Lee), Accounting and Finance, 2018, 58, 311-342. Link to Paper

  • “Macro-Economic and Financial Determinants of Comovement across Global Real Estate Security Markets”, Journal of Real Estate Research, 2016, 38:4, 595-623. Link to Paper

  • “The Interaction of Volatility, Volume and Skewness: Empirical Evidence form REITs”, (with Alexey Akimov & Elaine Hutson), Journal of Real Estate Portfolio Management, 2016, 22:1, 1-18. Link to Paper

  • “Public Real Estate and the Term Structure of Interest Rates: A Cross-Country Study”, (with Alexey Akimov & Maxim Zagonov), Journal of Real Estate Finance and Economics, 2015, 51:4, 503-540. Link to Paper

  • “Futures Trading, Spot Price Volatility and Market Efficiency: Evidence from European Real Estate Securities Futures”, (with Chyi Lin Lee & Ming Long Lee), Journal of Real Estate Finance and Economics, 2014, 48:2, 299-322. Link to Paper

  • “The Performance Effects of Composition Changes on Sector Specific Indices: The Case of European Listed Real Estate”, (with Chris Brooks, Konstantina Kappou & Charles Ward), International Review of Financial Analysis, 2013, 29, 132-142. Link to Paper

  • “Dynamic Correlations between REIT Sub-Sectors and the Implications for Diversification”, (with James Chong & Alexandra Krystalogianni), Applied Financial Economics, 2012, 22:13, 1089-1109. Link to Paper

  • “Monetary Policy Transmission and Real Estate Investment Trusts”, (with Don Bredin & Gerard O’Reilly), International Journal of Finance & Economics, 2011, 16:1, 92-102. Link to Paper

  • “Equity and Fixed Income Markets as Drivers of Securitised Real Estate”, (with Chee Cheong, Richard Gerlach, Pat Wilson & Ralf Zurbruegg), Review of Financial Economics, 2009, 18:2, 103-111. Link to Paper

  • “Conditional Correlations and Real Estate Investment Trusts”, (with James Chong & Joelle Miffre), Journal of Real Estate Portfolio Management, 2009, 15:2, 173-184. Link to Paper

  • “Modelling Long Memory in REITs”, (with John Cotter), Real Estate Economics, 2008, 36:3, 533-554. Link to Paper

  • “Asymmetry in REIT Returns”, (with Elaine Hutson), Journal of Real Estate Portfolio Management, 2008, 14:2, 105-123. Link to Paper

  • “The US REIT Market”, in McGreal, S. & Ramon, S. (eds). “The Introduction of REITs in Europe: A Global Perspective”, 2008. {second edition 2014}

  • “The Development of Real Estate Investment Trusts”, in McGreal, S. & Ramon, S. (eds). “The Introduction of REITs in Europe: A Global Perspective”, 2008. {second edition 2014}

  • “The Substitutability of REITs and Value Stocks”, (with Stephen Lee), Applied Financial Economics, 2007, 17:7, 541-557. Link to Paper

  • “Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities”, (with Pat Wilson & Ralf Zurbruegg), European Journal of Finance, 2007, 13:8, 705-715. Link to Paper

  • “Monetary Shocks and REIT Returns”, (with Don Bredin & Gerard O’Reilly), Journal of Real Estate Finance & Economics, 2007, 35:3, 315-331. Link to Paper

  • “Foreign Property Shocks and the Impact on Domestic Securitized Real Estate Markets: An Unobserved Components Approach”, (with Pat Wilson & Ralf Zurbruegg), Journal of Real Estate Finance & Economics, 2007, 34:3, 407-424. Link to Paper

  • “Measuring Spillover Effects across Asian Property Stocks”, (with Pat Wilson & Ralf Zurbruegg), Journal of Property Research, 2007, 24:2, 123-138. Link to Paper

  • “Uncovering Volatility Dynamics in Daily REIT Returns”, (with John Cotter), Journal of Real Estate Portfolio Management, 2007, 13:2, 119-128. Link to Paper

  • “A Multivariate Analysis of REIT Volatility”, (with John Cotter), Journal of Real Estate Finance & Economics, 2006, 32:3, 305-325. Link to Paper

  • “The Case for REITs in the Mixed-Asset Portfolio in the Short and Long Run”, (with Stephen Lee), Journal of Real Estate Portfolio Management, 2005, 11:1, 55-80. Link to Paper

  • “An Examination of Volatility Spillovers in REIT Returns”, Journal of Real Estate Portfolio Management, 2002, 8:3, 229-238. Link to Paper

  • “Ex-ante and ex-post Performance of Optimal REIT Portfolios”, Journal of Real Estate Portfolio Management, 2002, 8:3, 199-207. Link to Paper

  • “Momentum Effects & Mean Reversion in Real Estate Securities”, Journal of Real Estate Research, 2002, 23:1, 47-64. Link to Paper

  • “The Linkages Between Real Estate Securities in Asia & the Pacific-Rim”, (with Ryan Garvey & Gary Santry), Pacific-Rim Property Research Journal, 2001, 7:4, 240-257. Link to Paper

  • “Evaluating the Investment Attributes & Performance of Property Companies”, Journal of Property Investment & Finance, 2001, 19:3, 251-266. Link to Paper

  • “Bayes-Stein Estimators & International Real Estate Asset Allocation”, Journal of Real Estate Research, 2001, 21:1, 89-103. Link to Paper

  • “Re-Examination of the Inflation-Hedging Ability of Real Estate Securities: Empirical Tests using International Orthogonalized & Hedged Data”, International Real Estate Review, 2001, 4:1, 26-41. Link to Paper

  • “The Long-Term Advantages to Incorporating Indirect Securities in Direct Real Estate Portfolios”, Journal of Real Estate Portfolio Management, 2001, 7:1, 5-16. Link to Paper

  • “Contagion Effects & Intra-Industry Information Transfers: The Example of Olympia & York”, Journal of Property Research, 2000, 17:2, 133-146. Link to Paper

  • “International Real Estate Diversification: Empirical Tests using Hedged Indices”, Journal of Real Estate Research, 2000, 19:1, 105-131. Link to Paper

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