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The Variation of Economic Risk Premiums in Real Estate Returns
14 references·16 citing·36 second hopsampled
The Variation of Economic Risk Premiums in Real Estate Returns (1998)The Variation of Economic Risk Premiums i…Economic Risk Factors and Commercial Real Estate Returns (1997)Economic Risk Factors and Com…The predictability of returns on equity REITs and their co-movement with other assets (1992)The predictability of returns…The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Risk and Return on Real Estate: Evidence from Equity REITs (1990)Risk and Return on Real Estat…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Dividend yields and expected stock returns (1988)Dividend yields and expected …Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Testing asset pricing models with changing expectations and an unobservable market portfolio (1985)Testing asset pricing models …Stock Returns and the Term Structure (1985)Stock Returns and the Term St…An exploratory investigation of the firm size effect (1985)An exploratory investigation …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Asset Pricing in the Dark: The Cross-Section of OTC Stocks (2013)Asset Pricing in the Dark: Th…Adaptive market hypothesis: evidence from the REIT market (2013)Adaptive market hypothesis: e…Correlation and Volatility Dynamics in REIT Returns: Performance and Portfolio Considerations (2010)Correlation and Volatility Dy…REIT Momentum and the Performance of Real Estate Mutual Funds (2009)REIT Momentum and the Perform…Liquidity, Return and Order‐Flow Linkages Between REITs and the Stock Market (2007)Liquidity, Return and Order‐F…Investing for the Long-run in European Real Estate (2007)Investing for the Long-run in…Dynamic relationship between stock and property markets (2006)Dynamic relationship between …Mortgage Default: Classification Trees Analysis (2005)Mortgage Default: Classificat…Long-Term Co-Memories and Short-Run Adjustment: Securitized Real Estate and Stock Markets (2005)Long-Term Co-Memories and Sho…REITs and Idiosyncratic Risk (2004)REITs and Idiosyncratic RiskThe response of real estate investment trust returns to macroeconomic shocks (2003)The response of real estate i…The Dynamics of REIT Capital Flows and Returns (2003)The Dynamics of REIT Capital …International Real Estate Returns: A Multifactor, Multicountry Approach (2003)International Real Estate Ret…Commercial Real Estate Return Performance: A Cross-Country Analysis (2002)Commercial Real Estate Return…Commercial Real Estate Return Performance: A Cross-Country Analysis (2002)Commercial Real Estate Return…The Predictability of Equity REIT Returns: Time Variation and Economic Significance (2000)The Predictability of Equity …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)Expected Stock Returns and Variance Risk Premia (2009)The arbitrage theory of capital asset pricing (1976)Risk and return in an equilibrium APT (1988)New evidence on oil price and firm returns (2011)Does realized skewness predict the cross-section of equity returns? (2015)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)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)The Behavior of Stock-Market Prices (1965)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)On Persistence in Mutual Fund Performance (1997)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)The relationship between return and market value of common stocks (1981)Illiquidity and stock returns: cross-section and time-series effects (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)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1985An exploratory investigation of the firm size effect516 cited
  • 1990Risk and Return on Real Estate: Evidence from Equity REITs365 cited
  • 1985Testing asset pricing models with changing expectations and an unobservable market portfolio293 cited
  • 1992The predictability of returns on equity REITs and their co-movement with other assets284 cited
  • 1997Economic Risk Factors and Commercial Real Estate Returns220 cited

Cited by

  • 2003International Real Estate Returns: A Multifactor, Multicountry Approach159 cited

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  • 2003The response of real estate investment trust returns to macroeconomic shocks120 cited
  • 2005Long-Term Co-Memories and Short-Run Adjustment: Securitized Real Estate and Stock Markets111 cited
  • 2002Commercial Real Estate Return Performance: A Cross-Country Analysis105 cited
  • 2000The Predictability of Equity REIT Returns: Time Variation and Economic Significance103 cited
  • 2013Asset Pricing in the Dark: The Cross-Section of OTC Stocks97 cited
  • 2002Commercial Real Estate Return Performance: A Cross-Country Analysis83 cited
  • 2004REITs and Idiosyncratic Risk82 cited
  • 2010Correlation and Volatility Dynamics in REIT Returns: Performance and Portfolio Considerations80 cited
  • 2005Mortgage Default: Classification Trees Analysis77 cited
  • 2007Liquidity, Return and Order‐Flow Linkages Between REITs and the Stock Market75 cited
  • 2006Dynamic relationship between stock and property markets70 cited
  • 2007Investing for the Long-run in European Real Estate66 cited
  • 2003The Dynamics of REIT Capital Flows and Returns66 cited
  • 2013Adaptive market hypothesis: evidence from the REIT market60 cited
  • 2009REIT Momentum and the Performance of Real Estate Mutual Funds59 cited