SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The Information Content of the NCREIF Index
16 references·4 citing·48 second hop
The Information Content of the NCREIF Index (2009)The Information Content of the NCREIF Ind…The Integration of Commercial Real Estate Markets and Stock Markets (1999)The Integration of Commercial…Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Do Bulls and Bears Move Acros…Volume, Volatility, and the Dispersion of Beliefs (1993)Volume, Volatility, and the D…Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison (1993)Return Properties of Equity R…Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)Estimating Market Values from…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…Predicting Stock Returns in an Efficient Market (1990)Predicting Stock Returns in a…Equity Real Estate Investment Trusts and Real Estate Returns (1990)Equity Real Estate Investment…Stock returns and inflation (1987)Stock returns and inflationA Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Do Public Real Estate Returns Really Lead Private Returns? (2015)Do Public Real Estate Returns…Searching for a Common Factor in Public and Private Real Estate Returns (2013)Searching for a Common Factor…Determinants and information of REIT pricing (2011)Determinants and information …Dynamic Interactions Between Private and Public Real Estate Markets: Some International Evidence (2010)Dynamic Interactions Between …A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)The Relation Between Price Changes and Trading Volume: A Survey (1987)A Theory of Intraday Patterns: Volume and Price Variability (1988)Differential Information and Dynamic Behavior of Stock Trading Volume (1995)A test for volatility spillover with application to exchange rates (2001)Short‐Sales Constraints and Price Discovery: Evidence from the Hong Kong Market (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Asymmetric correlations of equity portfolios (2002)Noise Trader Risk in Financial Markets (1990)ARCH modeling in finance (1992)Chapter 49 Arch models (1994)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Stock Returns and the Term Structure (1985)Oil price shocks and stock market activity (1999)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Asset Prices in an Exchange Economy (1978)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)Stock return variances (1986)Mean reversion in stock prices (1988)Correlations in Price Changes and Volatility across International Stock Markets (1990)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1990Stock Returns, Expected Returns, and Real Activity1,553 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited
  • 1993Volume, Volatility, and the Dispersion of Beliefs478 cited
  • 1987Stock returns and inflation426 cited
  • 1993Estimating Market Values from Appraised Values without Assuming an Efficient Market420 cited
  • 1990Predicting Stock Returns in an Efficient Market327 cited
  • 1999The Integration of Commercial Real Estate Markets and Stock Markets290 cited
  • 1990Equity Real Estate Investment Trusts and Real Estate Returns253 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1993Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison207 cited
  • Cited by

    • 2010Dynamic Interactions Between Private and Public Real Estate Markets: Some International Evidence82 cited
    • 2015Do Public Real Estate Returns Really Lead Private Returns?33 cited
    • 2011Determinants and information of REIT pricing32 cited
    • 2013Searching for a Common Factor in Public and Private Real Estate Returns29 cited