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On the Portfolio Properties of Real Estate in Good Times and Bad Times1
16 references·4 citing·43 second hop
On the Portfolio Properties of Real Estate in Good Times and Bad Times1 (2010)On the Portfolio Properties of Real Estat…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Who Should Buy Long-Term Bonds? (2001)Who Should Buy Long-Term Bond…Predictive regressions (1999)Predictive regressionsConsumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Consumption and Portfolio Dec…Diversification, Integration and Emerging Market Closed‐End Funds (1996)Diversification, Integration …When Will Mean-Variance Efficient Portfolios be Well Diversified? (1992)When Will Mean-Variance Effic…Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …Investor Diversification and International Equity Markets (1991)Investor Diversification and …Implications of Security Market Data for Models of Dynamic Economies (1991)Implications of Security Mark…Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Long Swings in the Dollar: Ar…Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…A VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Mean-Variance Spanning (1987)Mean-Variance SpanningAn Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Co-movement across european stock and real estate markets (2020)Co-movement across european s…Real Estate in Mixed-Asset Portfolios for Various Investment Horizons (2019)Real Estate in Mixed-Asset Po…Explaining REIT Returns (2019)Explaining REIT ReturnsDiversification Benefits of REIT Preferred and Common Stock: New Evidence from a Utility‐based Framework (2016)Diversification Benefits of R…Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)A New Approach to Measuring Financial Contagion (2003)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Presidential Address: Discount Rates (2011)Expected stock returns and volatility (1987)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Expected Stock Returns and Variance Risk Premia (2009)The Theory of Syndicates (1968)Asset Prices in an Exchange Economy (1978)Martingales and arbitrage in multiperiod securities markets (1979)Asset returns and inflation (1977)Stock Returns and the Term Structure (1985)Dividend yields and expected stock returns (1988)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The short of it: Investor sentiment and anomalies (2011)Familiarity Breeds Investment (2001)The determinants of cross-border equity flows (2004)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Conditional Skewness in Asset Pricing Tests (2000)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)
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References

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  • 1999Predictive regressions1,614 cited
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  • 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?984 cited
  • 2001Who Should Buy Long-Term Bonds?624 cited
  • 1987Mean-Variance Spanning590 cited
  • 1996Diversification, Integration and Emerging Market Closed‐End Funds363 cited

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  • 1992When Will Mean-Variance Efficient Portfolios be Well Diversified?355 cited
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    • 2019Explaining REIT Returns40 cited
    • 2019Real Estate in Mixed-Asset Portfolios for Various Investment Horizons40 cited
    • 2020Co-movement across european stock and real estate markets31 cited
    • 2016Diversification Benefits of REIT Preferred and Common Stock: New Evidence from a Utility‐based Framework29 cited