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The Inflation-Hedging Properties of Risk Assets: The Case of REITs
16 references·7 citing·42 second hop
The Inflation-Hedging Properties of Risk Assets: The Case of REITs (1995)The Inflation-Hedging Properties of Risk …Short- Term Interest Rates as Predictors of Inflation (2021)Short- Term Interest Rates as…Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis that the Real Rate of Interest is Constant (2016)Short-Term Interest Rates as …Smoothing in appraisal-based returns (1991)Smoothing in appraisal-based …Risk and Return on Real Estate: Evidence from Equity REITs (1990)Risk and Return on Real Estat…The Inflation-Hedging Effectiveness of Real Estate (1989)The Inflation-Hedging Effecti…Owner-occupied homes, income-producing properties, and REITs as inflation hedges: Empirical findings (1988)Owner-occupied homes, income-…Interest-Rate Sensitivity of Real Estate Investment Trusts (1988)Interest-Rate Sensitivity of …Real Estate Returns and Inflation (1987)Real Estate Returns and Infla…Asset Pricing and Expected Inflation (1986)Asset Pricing and Expected In…Stochastic Dominance, Mean Variance, and Gini's Mean Difference (1982)Stochastic Dominance, Mean Va…Asset returns and inflation (1977)Asset returns and inflationA Study of Price Forecasts (1977)A Study of Price ForecastsTHE “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 Theory of Investment Value, by John Burr Williams (1939)The Theory of Investment Valu…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…Lodging REIT Performance and Comparison With Other Equity REIT Returns (2009)Lodging REIT Performance and …The inflation-hedging properties of Turkish REITs (2008)The inflation-hedging propert…REIT Investments and Hedging Against Inflation (2004)REIT Investments and Hedging …An Examination of the Determinants of Hotel Reits' Unsystematic Risk (2003)An Examination of the Determi…Inflation Risk Analysis of European Real Estate Securities (2002)Inflation Risk Analysis of Eu…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On an Extension of the Gini Inequality Index (1983)Remittances and Inequality (1986)Chapter 2 Measurement of inequality (2000)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Efficiency of the Market for Single-Family Homes (1988)Business conditions and expected returns on stocks and bonds (1989)Rational Expectations and the Theory of Price Movements (1961)Likelihood‐based cointegration tests in heterogeneous panels (2001)Chapter 15 Anomalies and market efficiency (2003)How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements (2013)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)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)The Decline of Inflation and the Bull Market of 1982-1999 (2002)Macro variables and international stock return predictability (2004)Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore's All-S Sector Indices (2005)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)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)Value indices of commercial real estate: A comparison of index construction methods (1994)The Integration of Commercial Real Estate Markets and Stock Markets (1999)Time Series Analysis: Forecasting and Control (1977)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)The arbitrage theory of capital asset pricing (1976)Economic Forces and the Stock Market (1986)Performance measurement with the arbitrage pricing theory (1986)The predictability of returns on equity REITs and their co-movement with other assets (1992)Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)THE TAX‐ADJUSTED YIELD CURVE (1975)Bulls, bears and market sheep (1990)Comparing the Accuracy and Explainability of Dividend, Free Cash Flow, and Abnormal Earnings Equity Value Estimates (2000)
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References

  • 1977Asset returns and inflation2,701 cited
  • 2021Short- Term Interest Rates as Predictors of Inflation870 cited
  • 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION697 cited
  • 1939The Theory of Investment Value, by John Burr Williams623 cited
  • 1976INFLATION AND RATES OF RETURN ON COMMON STOCKS567 cited
  • 1991Smoothing in appraisal-based returns425 cited
  • 2016Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis that the Real Rate of Interest is Constant382 cited
  • 1990Risk and Return on Real Estate: Evidence from Equity REITs365 cited
  • 1976THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION357 cited
  • 1982Stochastic Dominance, Mean Variance, and Gini's Mean Difference330 cited
  • 1977A Study of Price Forecasts243 cited
  • 1987Real Estate Returns and Inflation217 cited
  • 1986Asset Pricing and Expected Inflation186 cited
  • 1989The Inflation-Hedging Effectiveness of Real Estate130 cited
  • 1988Owner-occupied homes, income-producing properties, and REITs as inflation hedges: Empirical findings128 cited
  • 1988Interest-Rate Sensitivity of Real Estate Investment Trusts

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Cited by

  • 2004REIT Investments and Hedging Against Inflation42 cited
  • 2003An Examination of the Determinants of Hotel Reits' Unsystematic Risk39 cited
  • 2002Inflation Risk Analysis of European Real Estate Securities31 cited
  • 2014DO EUROPEAN REAL ESTATE STOCKS HEDGE INFLATION? EVIDENCE FROM DEVELOPED AND EMERGING MARKETS30 cited
  • 2009Lodging REIT Performance and Comparison With Other Equity REIT Returns30 cited
  • 2008The inflation-hedging properties of Turkish REITs27 cited
  • 2016Integration between the Asian REIT markets and macroeconomic variables26 cited