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Another Look at the Asymmetric REIT-Beta Puzzle
9 references·8 citing·46 second hopsampled
Another Look at the Asymmetric REIT-Beta Puzzle (2004)Another Look at the Asymmetric REIT-Beta …REITs in the decentralized investment industry (2002)REITs in the decentralized in…The Predictability of Equity REIT Returns (1998)The Predictability of Equity …Frequency Space Correlation between REITs and Capital Market Indices (1998)Frequency Space Correlation b…The Historical Performance of Real Estate Investment Trusts (1995)The Historical Performance of…Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison (1993)Return Properties of Equity R…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Real Estate Risk and the Business Cycle: Evidence from Security Markets (1990)Real Estate Risk and the Busi…The relationship between return and market value of common stocks (1981)The relationship between retu…Misspecification of capital asset pricing (1981)Misspecification of capital a…Local Beta: Has Local Real Estate Market Risk Been Priced in REIT Returns? (2022)Local Beta: Has Local Real Es…Diversification benefit and return performance of REITs using CAPM and Fama-French: Evidence from Turkey (2017)Diversification benefit and r…Time-Varying Betas of US REITs from 1972 to 2013 (2015)Time-Varying Betas of US REIT…Time‐varying performance of four Asia‐Pacific REITs (2008)Time‐varying performance of f…Further Evidence on the Performance of Funds of Funds: The Case of Real Estate Mutual Funds (2008)Further Evidence on the Perfo…Downside Beta and the Cross-sectional Determinants of Listed Property Trust Returns (2008)Downside Beta and the Cross-s…Forecasting EREIT Returns (2007)Forecasting EREIT ReturnsDiscovering REIT Price Discovery: A New Data Setting (2007)Discovering REIT Price Discov…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Real Estate Investment Funds: Performance and Portfolio Considerations (1984)Risk and Return on Real Estate: Evidence from Equity REITs (1990)Hotel Real Estate Investment Trusts' Risk Features and Beta Determinants (2002)REITs and Idiosyncratic Risk (2004)Investor Sentiment and REIT Returns (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (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)Insiders' profits, costs of trading, and market efficiency (1986)Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence (1988)Fundamentals and Stock Returns in Japan (1991)Permanent and Temporary Components of Stock Prices (1988)Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Closed‐End Fund Puzzle (1991)Real estate is not normal: A fresh look at real estate return distributions (1995)Appraisal Smoothing and Price Discovery in Real Estate Markets (2003)Are REITs real estate? Evidence from international sector level data (2012)The predictability of returns on equity REITs and their co-movement with other assets (1992)What Does the Stock Market Tell Us About Real Estate Returns? (1992)REITs and the financial crisis: Empirical evidence from the U.S. (2009)Why Do REIT Returns Poorly Reflect Property Returns? Unrealizable Appreciation Gains due to Trading Constraints as the Solution to the Short‐Term Disparity (2013)Spillover Risks in REITs and other Asset Markets (2016)Real Estate Returns: A Comparison with Other Investments (1984)Risk and the Performance of Real Estate Investment Trusts: A Multiple Index Approach (1986)Real Estate Cycles and Their Strategic Implications for Investors and Portfolio Managers in the Global Economy (1999)Time On-market and Price Trade-offs in High-rise Housing Sub-markets (2000)Economic Forces and the Stock Market (1986)Evidence of Predictable Behavior of Security Returns (1990)The Cross-Section of Expected Stock Returns (1992)Commercial Real Estate Return Performance: A Cross-Country Analysis (2002)Forecasting Real Estate Prices (2013)Determinants of Portfolio Performance (1986)Conditional Correlations and Real Estate Investment Trusts (2009)Leverage, product diversity and performance of general insurers in Malaysia (2012)Intellectual capital and profitability in an emerging insurance market (2017)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Real Estate Investment Trusts (2010)Performance Chasing, Fund Flows and Fund Size in Real Estate Mutual Funds (2013)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1981Misspecification of capital asset pricing1,286 cited
  • 1993Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison207 cited
  • 1995The Historical Performance of Real Estate Investment Trusts117 cited
  • 1998The Predictability of Equity REIT Returns111 cited
  • 1990Real Estate Risk and the Business Cycle: Evidence from Security Markets90 cited
  • 2002REITs in the decentralized investment industry55 cited
  • 1998Frequency Space Correlation between REITs and Capital Market Indices43 cited

Cited by

  • 2008Further Evidence on the Performance of Funds of Funds: The Case of Real Estate Mutual Funds39 cited
  • 2007Forecasting EREIT Returns38 cited
  • 2017Diversification benefit and return performance of REITs using CAPM and Fama-French: Evidence from Turkey31 cited
  • 2022Local Beta: Has Local Real Estate Market Risk Been Priced in REIT Returns?31 cited
  • 2008Time‐varying performance of four Asia‐Pacific REITs31 cited
  • 2008Downside Beta and the Cross-sectional Determinants of Listed Property Trust Returns

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30 cited
  • 2007Discovering REIT Price Discovery: A New Data Setting29 cited
  • 2015Time-Varying Betas of US REITs from 1972 to 201325 cited