Simon Stevenson : Citation Profile


Are you Simon Stevenson?

University of Washington

11

H index

15

i10 index

480

Citations

RESEARCH PRODUCTION:

46

Articles

54

Papers

RESEARCH ACTIVITY:

   20 years (1998 - 2018). See details.
   Cites by year: 24
   Journals where Simon Stevenson has often published
   Relations with other researchers
   Recent citing documents: 18.    Total self citations: 29 (5.7 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pst884
   Updated: 2024-01-16    RAS profile: 2023-03-16    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Simon Stevenson.

Is cited by:

GUPTA, RANGAN (35)

Liow, Kim (16)

Pierdzioch, Christian (10)

Zhou, Jian (8)

Lyons, Ronan (7)

Hoesli, Martin (7)

Hutson, Elaine (7)

Leung, Charles (6)

Guidolin, Massimo (5)

cotter, john (5)

lucey, brian (5)

Cites to:

Hoesli, Martin (16)

Wilson, Patrick (16)

Liow, Kim (15)

Glascock, John (13)

hendershott, patric (13)

Ling, David (13)

Bernanke, Ben (12)

cotter, john (12)

Engle, Robert (12)

Lizieri, Colin (11)

Gertler, Mark (10)

Main data


Where Simon Stevenson has published?


Journals with more than one article published# docs
Journal of Property Research7
Journal of Real Estate Research5
The Journal of Real Estate Finance and Economics5
Journal of Housing Economics4
Real Estate Economics3
International Real Estate Review2
International Journal of Housing Markets and Analysis2
The European Journal of Finance2
Urban Studies2
International Review of Financial Analysis2

Working Papers Series with more than one paper published# docs
ERES / European Real Estate Society (ERES)39
Real Estate & Planning Working Papers / Henley Business School, University of Reading8
Papers / arXiv.org3
MPRA Paper / University Library of Munich, Germany3

Recent works citing Simon Stevenson (2024 and 2023)


YearTitle of citing document
2023Government Guarantees and Banks Income Smoothing. (2023). , Felipe ; Merkley, Kenneth J ; Dantas, Manuela M. In: Papers. RePEc:arx:papers:2303.03661.

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2023Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach. (2023). Iitsuka, Yoshitaka ; Motegi, Kaiji. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001759.

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2023Good growth, bad growth: Market reaction to capital raising for REIT expansion. (2023). Zhang, Wenjing ; Weng, Xiaoyu ; Wang, Zilong ; Mansley, Nick. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000157.

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2023Promoting financial stability of oil producers: Operational vs. financial hedging. (2023). Lu, You ; Kang, Sang Baum ; Fang, Yiwei. In: Journal of Financial Stability. RePEc:eee:finsta:v:67:y:2023:i:c:s1572308923000529.

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2023Foreign exchange exposure and analysts’ earnings forecasts. (2023). Naiker, Vic ; Lai, Karen ; Chen, Chen ; Yusoff, Iliyas ; Wang, Jun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002953.

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2023Corporate commodity exposure: A multi-country longitudinal study. (2023). lucey, brian ; Vigne, Samuel ; Laing, Elaine ; Han, XU. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000193.

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2023On the connection between international REITs and oil markets: The role of economic policy uncertainty. (2023). Oyewole, Oluwatomisin ; Fasanya, Ismail O. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000430.

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2023Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach. (2023). Salisu, Afees ; GUPTA, RANGAN ; Bouri, Elie. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:303-314.

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2023Can a house resale restriction policy curb speculation? Evidence from a quasi-natural experiment in China. (2023). Zhao, Sheng ; Moreira, Fernando ; Lan, Hao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:841-859.

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2023Exploring the Effects of Municipal Land and Building Policies on Apartment Size in New Residential Construction in Sweden. (2023). Wilhelmsson, Mats ; Warsame, Abukar ; Engerstam, Sviatlana. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:4:p:220-:d:1113656.

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2023Univariate Forecasting for REITs with Deep Learning: A Comparative Analysis with an ARIMA Model. (2023). Song, Han-Suck ; Axelsson, Birger. In: Working Paper Series. RePEc:hhs:kthrec:2023_010.

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2023Unfolding Beijing in a Hedonic Way. (2023). Yan, Ting Hin ; Wang, Yishu ; Shi, Zhentao ; Lin, Wei. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:1:d:10.1007_s10614-021-10209-3.

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2023A Novel Hybrid House Price Prediction Model. (2023). Erdogan, Birsen Eygi ; Akyuz, Sureyya Ozour ; Ata, Pinar Karadayi ; Yildiz, Ozlem. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:3:d:10.1007_s10614-022-10298-8.

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2023Government Guarantees and Banks’ Income Smoothing. (2023). , Felipe ; Merkley, Kenneth J ; Dantas, Manuela M. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:63:y:2023:i:2:d:10.1007_s10693-023-00398-3.

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2023Fractional Integration and Volatility Transmission Between Real Estate and Stock Markets: Novel Evidence from a FIGARCH-BEKK Approach. (2023). Babalos, Vassilios ; Kiohos, Apostolos ; Koulakiotis, Athanasios ; Kyriakou, Maria I. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:66:y:2023:i:4:d:10.1007_s11146-021-09879-5.

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2023Volatility linkages and value gains from diversifying with Islamic assets. (2023). Jahromi, Maria ; Akhtar, Shumi ; John, Kose. In: Journal of International Business Studies. RePEc:pal:jintbs:v:54:y:2023:i:8:d:10.1057_s41267-023-00641-y.

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2023How does real estate market react to the iron ore boom in Australian capital cities?. (2023). Su, Chi-Wei ; Li, Zheng Zheng. In: The Annals of Regional Science. RePEc:spr:anresc:v:71:y:2023:i:2:d:10.1007_s00168-022-01179-x.

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2023Non-linear structures, chaos, and bubbles in U.S. regional housing markets. (2023). Bui, Thuy ; Emekter, Riza ; Jirasakuldech, Benjamas. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:1:d:10.1007_s12197-022-09598-4.

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Works by Simon Stevenson:


YearTitleTypeCited
2011Modeling Long Memory in REITs In: Papers.
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paper30
2008Modeling Long Memory in REITs.(2008) In: Real Estate Economics.
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This paper has nother version. Agregated cites: 30
article
2007Modeling Long Memory in REITs.(2007) In: MPRA Paper.
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This paper has nother version. Agregated cites: 30
paper
2011Uncovering Volatility Dynamics in Daily REIT Returns In: Papers.
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paper8
2005Uncovering Volatility Dynamics in Daily REIT Returns.(2005) In: MPRA Paper.
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This paper has nother version. Agregated cites: 8
paper
2011Multivariate Modeling of Daily REIT Volatility In: Papers.
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paper75
2006Multivariate Modeling of Daily REIT Volatility.(2006) In: The Journal of Real Estate Finance and Economics.
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This paper has nother version. Agregated cites: 75
article
2005Multivariate Modeling of Daily REIT Volatility.(2005) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 75
paper
2011Multivariate Modelling of Daily REIT Volatility.(2011) In: Working Papers.
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This paper has nother version. Agregated cites: 75
paper
1998Commercial Real Estate and International Diversification In: ERES.
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paper0
1999A Long Term Analysis of Regional Housing markets and Inflation In: ERES.
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paper13
2000A Long-Term Analysis of Regional Housing Markets and Inflation.(2000) In: Journal of Housing Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13
article
1999Hedging International Real Estate Investments: Decomposing Returns into Capital and Income Components In: ERES.
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paper0
1999Government Intervention and Its Impact on the Housing Market in Greater Dublin In: ERES.
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paper0
2000REAL ESTATE PORTFOLIO CONSTRUCTION AND ESTIMATION RISK In: ERES.
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paper0
2000A Comparison of Alternative Rental Forecasting Models: Empirical Tests on the London Office Market In: ERES.
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paper3
2003A comparison of alternative rental forecasting models: empirical tests on the London office market.(2003) In: Journal of Property Research.
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This paper has nother version. Agregated cites: 3
article
2001Time Weighted Portfolio Optimisation In: ERES.
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paper0
2002Volatility in the Ripple Effect of Regional House Market Dynamics In: ERES.
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paper0
2002Hedonic Estimation of Apartment Submarkets In: ERES.
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paper0
2003Economic, Demographic and Fiscal Influences on Housing Market Dynamics In: ERES.
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paper5
2004New Empirical Evidence on the Speculative Behaviour Present in Residential Property Markets In: ERES.
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paper0
2004Real estate in the mixed-asset portfolio: the question of consistency In: ERES.
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paper0
2004Real Estate in the Mixed-asset Portfolio: The Question of Consistency.(2004) In: Real Estate & Planning Working Papers.
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This paper has nother version. Agregated cites: 0
paper
2005The Distributional Characteristics of REIT Returns In: ERES.
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paper0
2005NY-LON: Does a Single Cross-Continental Office Market Exist? In: ERES.
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paper0
2005Modelling Housing Market Fundamentals: Empirical Evidence of Extreme Market Conditions In: ERES.
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paper28
2008Modeling Housing Market Fundamentals: Empirical Evidence of Extreme Market Conditions.(2008) In: Real Estate Economics.
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This paper has nother version. Agregated cites: 28
article
2005Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities In: ERES.
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paper9
2007Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities.(2007) In: The European Journal of Finance.
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This paper has nother version. Agregated cites: 9
article
2005An Analysis of Residential Auction Sale Prices and Quoted Guide Prices In: ERES.
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paper0
2006PERMANENT AND TRANSITORY DRIVERS OF SECURITISED REAL ESTATE In: ERES.
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paper0
2006AN ASSET PRICING MODEL OF THE LONDON RESIDENTIAL MARKET In: ERES.
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paper0
2007Monetary Policy and Real Estate Investment Trusts In: ERES.
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paper1
2007Panel Modelling of Regional Commercial Property Markets: Empirical Evidence from Finland In: ERES.
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paper0
2007Mean-Variance Spanning Tests of Real Estateís Portfolio Contribution In: ERES.
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paper0
2007Asymmetric Betaís in Bull and Bear Markets: Evidence from US Equity REITs In: ERES.
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paper0
2007Conditional Correlations and Real Estate Investment Trusts In: ERES.
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paper0
2007Tests of Dynamic Asymmetric Correlations across REIT Sub-Sectors In: ERES.
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paper0
2009Dynamics of Residential Market in Ghana: A Comparison In: ERES.
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paper0
2011INREV Panel on the Education Requirements of the Indirect Investment Market In: ERES.
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paper0
2012Herding in real estate security analysis In: ERES.
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paper0
2013The Case for Risk Parity as an Alternative Strategy for Asset Allocation in Real Estate Portfolios In: ERES.
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paper0
2013Performance and Cash Flow Drivers of Private Real Estate Funds In: ERES.
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paper0
2013Securitised Real Estate Regime-Switching Behaviour and the Relationship with Market Interest Rates In: ERES.
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paper0
2013Sponsor, Corporate Governance and Asian REITs Performance In: ERES.
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paper0
2014The Sensitivity of European Publically Listed Real Estate to Interest Rates In: ERES.
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paper0
2015Toward a Liability Driven Investment Paradigm for DC Pensions: Implication for Real Estate Allocations In: ERES.
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paper0
2015Real estate market risk modelling In: ERES.
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paper1
2015Rationality and Momentum in Real Estate Investment Forecasts In: ERES.
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paper0
2014Rationality and Momentum in Real Estate Investment Forecasts.(2014) In: Real Estate & Planning Working Papers.
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This paper has nother version. Agregated cites: 0
paper
2015How do Optimal Reserves Compare to Actual Undisclosed Reserve Prices? Empirical Evidence from English Open Outcry Auctions of Residential Property In: ERES.
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paper0
2015Volatility Transmission: A Global Tri-Variate Analysis of Public Real Estate and Foreign Exchange Markets In: ERES.
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paper0
2015Investor Protection, Corporate Governance and Firm Performance: Evidence from Asian Real Estate Investment Trusts In: ERES.
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paper0
2018Low?frequency volatility of real estate securities and macroeconomic risk In: Accounting and Finance.
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article3
2015The Role of Undisclosed Reserves in English Open Outcry Auctions In: Real Estate Economics.
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article2
2001Emerging markets, downside risk and the asset allocation decision In: Emerging Markets Review.
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article13
2013The performance effects of composition changes on sector specific stock indices: The case of European listed real estate In: International Review of Financial Analysis.
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article1
2015Assessing the accuracy and dispersion of real estate investment forecasts In: International Review of Financial Analysis.
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article1
2004New empirical evidence on heteroscedasticity in hedonic housing models In: Journal of Housing Economics.
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article25
2006Special issue based on the European Real Estate Society (ERES) Conference, Dublin, Ireland, June 2005 In: Journal of Housing Economics.
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article0
2010A comparison of the appraisal process for auction and private treaty residential sales In: Journal of Housing Economics.
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article7
2009Equity and fixed income markets as drivers of securitised real estate In: Review of Financial Economics.
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article4
2010The Ghanaian transaction-based residential indices In: International Journal of Housing Markets and Analysis.
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article1
2010Residential market development in sub-Saharan Africa In: International Journal of Housing Markets and Analysis.
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article1
2007A comparison of the forecasting ability of ARIMA models In: Journal of Property Investment & Finance.
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article3
2001A Re-Examination of the Inflation-Hedging Ability of Real Estate Securities: Empirical Tests Using International Orthogonalized & Hedged Data In: International Real Estate Review.
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article3
2001Tax Policies and Residential Mobility In: International Real Estate Review.
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article6
2000International Real Estate Diversification: Empirical Tests using Hedged Indices In: Journal of Real Estate Research.
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article24
2001Bayes-Stein Estimators and International Real Estate Asset Allocation In: Journal of Real Estate Research.
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article3
2002Momentum Effects and Mean Reversion in Real Estate Securities In: Journal of Real Estate Research.
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article23
2003Estimation of Apartment Submarkets In: Journal of Real Estate Research.
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article5
2016Macro-Economic and Financial Determinants of Comovement across Global Real Estate Security Markets In: Journal of Real Estate Research.
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article2
2007Foreign Property Shocks and the Impact on Domestic Securitized Real Estate Markets: An Unobserved Components Approach In: The Journal of Real Estate Finance and Economics.
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article11
2007Monetary Shocks and REIT Returns In: The Journal of Real Estate Finance and Economics.
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article35
2014Futures Trading, Spot Price Volatility and Market Efficiency: Evidence from European Real Estate Securities Futures In: The Journal of Real Estate Finance and Economics.
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article11
2015Public Real Estate and the Term Structure of Interest Rates: A Cross-Country Study In: The Journal of Real Estate Finance and Economics.
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article5
2002The Sensitivity of European Bank Stocks to German Interest Rates Changes In: Multinational Finance Journal.
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article6
2010Openness, hedging incentives and foreign exchange exposure: A firm-level multi-country study In: Journal of International Business Studies.
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article45
2004The Case for REITs in the Mixed-Asset Portfolio in the Short and Long Run In: Real Estate & Planning Working Papers.
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paper1
2011Separating Skill from Luck in REIT Mutual Funds In: Real Estate & Planning Working Papers.
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paper1
Dynamic Correlations across REIT Sub-Sectors In: Real Estate & Planning Working Papers.
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paper0
Capital Market Expectations and the London Office Market In: Real Estate & Planning Working Papers.
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paper0
2014Residential Property Loans and Bank Performance during Property Price Booms: Evidence from Europe In: Real Estate & Planning Working Papers.
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paper2
2014A Comparative Analysis of the Accuracy and Uncertainty in Real Estate and Macroeconomic Forecasts In: Real Estate & Planning Working Papers.
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paper0
2015The probability of sale and price premiums in withdrawn auctioned properties In: Urban Studies.
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article1
2015Synchronisation and commonalities in metropolitan housing market cycles In: Urban Studies.
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article9
2007The substitutability of REITs and value stocks In: Applied Financial Economics.
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article1
2012Dynamic correlations between REIT sub-sectors and the implications for diversification In: Applied Financial Economics.
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article4
2014A Multiple Error-Correction Model of Housing Supply In: Housing Studies.
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article7
2004A performance evaluation of portfolio managers: tests of micro and macro forecasting In: The European Journal of Finance.
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article0
2007 Forecasting Housing Supply: Empirical Evidence from the Irish Market In: European Journal of Housing Policy.
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article1
1999Real estates role in an international multi-asset portfolio: empirical evidence using Irish data In: Journal of Property Research.
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article3
2000Contagion effects and intra industry information flows: the example of Olympia & York In: Journal of Property Research.
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article0
2003Empirical evidence on the micro and macro forecasting ability of real estate funds In: Journal of Property Research.
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article0
2005House price diffusion and inter?regional and cross?border house price dynamics In: Journal of Property Research.
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article0
2007Measuring Spillover Effects Across Asian Property Stocks In: Journal of Property Research.
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article10
2016Performance drivers of private real estate funds In: Journal of Property Research.
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article3
2014Concordance in Global Office Market Cycles In: Regional Studies.
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article10
2011Monetary policy transmission and real estate investment trusts In: International Journal of Finance & Economics.
[Citation analysis]
article14

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