SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
REIT Returns and Inflation: Perverse or Reverse Causality Effects?
16 references·11 citing·46 second hop
REIT Returns and Inflation: Perverse or Reverse Causality Effects? (2002)REIT Returns and Inflation: Perverse or R…On Stock Market Returns and Monetary Policy (1997)On Stock Market Returns and M…International Evidence on Real Estate Securities as an Inflation Hedge (1997)International Evidence on Rea…Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation (1992)Causal Relations Among Stock …Risk and Return on Real Estate: Evidence from Equity REITs (1990)Risk and Return on Real Estat…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…Real Estate Returns and Inflation (1987)Real Estate Returns and Infla…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Real Estate Investment Funds: Performance and Portfolio Considerations (1984)Real Estate Investment Funds:…The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…Inflation, real returns and capital investment (1982)Inflation, real returns and c…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Asset returns and inflation (1977)Asset returns and inflationThe "Fisher Effect" for Risky Assets: An Empirical Investigation (1976)The "Fisher Effect" for Risky…THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION (1976)THE “FISHER EFFECT” FOR RISKY…INFLATION AND RATES OF RETURN ON COMMON STOCKS (1976)INFLATION AND RATES OF RETURN…COMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)COMMON STOCKS AS A HEDGE AGAI…The inflation hedging properties of gold, stocks and real estate: A comparative analysis (2020)The inflation hedging propert…Low‐frequency volatility of real estate securities and macroeconomic risk (2017)Low‐frequency volatility of r…Integration between the Asian REIT markets and macroeconomic variables (2016)Integration between the Asian…DO EUROPEAN REAL ESTATE STOCKS HEDGE INFLATION? EVIDENCE FROM DEVELOPED AND EMERGING MARKETS (2014)DO EUROPEAN REAL ESTATE STOCK…Insider Ownership, Risk, and Leverage in REITs (2009)Insider Ownership, Risk, and …The Asymmetric Response of Equity REIT Returns to Inflation (2007)The Asymmetric Response of Eq…Momentum Profitability and Market Trend: Evidence from REITs (2007)Momentum Profitability and Ma…Comovement After Joining an Index: Spillovers of Nonfundamental Effects (2007)Comovement After Joining an I…The Riskiness of REITs Surrounding the October 1997 Stock Market Decline (2004)The Riskiness of REITs Surrou…Shocks to macroeconomic state variables and the risk premium of REITs (2003)Shocks to macroeconomic state…The Relationship Between REITs Returns and Inflation: A Vector Error Correction Approach (2001)The Relationship Between REIT…MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)The arbitrage theory of capital asset pricing (1976)Economic Forces and the Stock Market (1986)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Stock Return Predictability and The Role of Monetary Policy (1997)Firm Size and Cyclical Variations in Stock Returns (2000)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Time Series Analysis, Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions (1984)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)A Cross-Sectional Test of an Investment-Based Asset Pricing Model (1996)PORTFOLIO SELECTION* (1952)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Stock returns and inflation (1987)Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)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)Expected stock returns and volatility (1987)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time Series Analysis: Forecasting and Control (1977)Stock Returns and the Term Structure (1985)Stock Returns, Expected Returns, and Real Activity (1990)Oil price shocks and stock market activity (1999)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock Market Returns and Inflation: Evidence from Other Countries (1983)Forecasting stock market returns: The sum of the parts is more than the whole (2011)How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements (2013)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Transactions, Volume, and Volatility (1994)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Theory of rational option pricing (2005)Macroeconomics and Reality (1980)Consumer Confidence and Asset Prices: Some Empirical Evidence (2006)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 1997On Stock Market Returns and Monetary Policy931 cited
  • 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION697 cited
  • 1976INFLATION AND RATES OF RETURN ON COMMON STOCKS567 cited
  • 1992Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation551 cited
  • 1982Inflation, real returns and capital investment477 cited
  • 1990Risk and Return on Real Estate: Evidence from Equity REITs365 cited
  • 1976THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION357 cited
  • 1976The "Fisher Effect" for Risky Assets: An Empirical Investigation285 cited
  • 1984Real Estate Investment Funds: Performance and Portfolio Considerations224 cited
  • 1987Real Estate Returns and Inflation217 cited

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

1997
International Evidence on Real Estate Securities as an Inflation Hedge
143 cited

Cited by

  • 2020The inflation hedging properties of gold, stocks and real estate: A comparative analysis93 cited
  • 2007Comovement After Joining an Index: Spillovers of Nonfundamental Effects77 cited
  • 2007The Asymmetric Response of Equity REIT Returns to Inflation60 cited
  • 2007Momentum Profitability and Market Trend: Evidence from REITs54 cited
  • 2004The Riskiness of REITs Surrounding the October 1997 Stock Market Decline45 cited
  • 2003Shocks to macroeconomic state variables and the risk premium of REITs38 cited
  • 2017Low‐frequency volatility of real estate securities and macroeconomic risk35 cited
  • 2014DO EUROPEAN REAL ESTATE STOCKS HEDGE INFLATION? EVIDENCE FROM DEVELOPED AND EMERGING MARKETS30 cited
  • 2001The Relationship Between REITs Returns and Inflation: A Vector Error Correction Approach29 cited
  • 2016Integration between the Asian REIT markets and macroeconomic variables26 cited
  • 2009Insider Ownership, Risk, and Leverage in REITs24 cited