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Real Estate Returns and the Macroeconomy: Some Empirical Evidence from Real Estate Investment Trust Data, 1972-1991
10 references·16 citing·50 second hopsampled
Real Estate Returns and the Macroeconomy: Some Empirical Evidence from Real Estate Investment Trust Data, 1972-1991 (1994)Real Estate Returns and the Macroeconomy:…Vector Autoregressions and Reality (2002)Vector Autoregressions and Re…Vector Autoregressions and Reality (1987)Vector Autoregressions and Re…Real Estate Returns and Inflation (1987)Real Estate Returns and Infla…[Vector Autoregressions and Reality]: Comment (1987)[Vector Autoregressions and R…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Some properties of time series data and their use in econometric model specification (1981)Some properties of time serie…Macroeconomics and Reality (1980)Macroeconomics and RealityDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Extra-Market Components of Covariance in Security Returns (1974)Extra-Market Components of Co…Market and Industry Factors in Stock Price Behavior (1966)Market and Industry Factors i…Low‐frequency volatility of real estate securities and macroeconomic risk (2017)Low‐frequency volatility of r…Real estate markets and the macroeconomy: A dynamic coherence framework (2012)Real estate markets and the m…What determines the capital structure of real estate companies? (2009)What determines the capital s…Common factors in international securitized real estate markets (2008)Common factors in internation…REITs’ dynamics under structural change with unknown break points (2007)REITs’ dynamics under structu…Macroeconomic risk factors in Australian commercial real estate, listed property trust and property sector stock returns (2006)Macroeconomic risk factors in…Time-Varying Macroeconomic Risk and Commercial Real Estate: An Asset Pricing Perspective (2004)Time-Varying Macroeconomic Ri…International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks (2003)International evidence on the…REIT Risk Premium Sensitivity and Interest Rates (2002)REIT Risk Premium Sensitivity…Testing for bubbles in indirect property price cycles (2001)Testing for bubbles in indire…Returns and Risk on Real Estate and Other Investments: More Evidence (2001)Returns and Risk on Real Esta…Forecasting real estate returns using financial spreads (2001)Forecasting real estate retur…Forecasting Models of Retail Rents (2000)Forecasting Models of Retail …Real Interest Regimes and Real Estate Performance: A Comparison of U.K. and U.S. Markets (1998)Real Interest Regimes and Rea…Modelling Use, Investment, and Development in the British Office Market (1998)Modelling Use, Investment, an…Interactions Between Property and Equity Markets: An Investigation of Linkages in the United Kingdom 1972–1992 (1997)Interactions Between Property…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)The Limits of Capital (1982)The Condition of Postmodernity (1991)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. 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(1972)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)Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints (2001)Moore's Law versus Murphy's Law: Algorithmic Trading and Its Discontents (2013)Comparing Cross-Section and Time-Series Factor Models (2019)Atheoretical macroeconometrics: A critique (1985)Vector Autoregressive Models for Multivariate Time Series (2003)Tourism as a Long-Run Economic Growth Factor: An Empirical Investigation for Greece Using Causality Analysis (2004)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1981Some properties of time series data and their use in econometric model specification2,406 cited
  • 1966Market and Industry Factors in Stock Price Behavior838 cited
  • 2002Vector Autoregressions and Reality413 cited
  • 1974Extra-Market Components of Covariance in Security Returns295 cited
  • 1987Vector Autoregressions and Reality242 cited
  • 1987Real Estate Returns and Inflation217 cited
  • 1987[Vector Autoregressions and Reality]: Comment55 cited

Cited by

  • 1997Interactions Between Property and Equity Markets: An Investigation of Linkages in the United Kingdom 1972–1992111 cited
  • 2012Real estate markets and the macroeconomy: A dynamic coherence framework86 cited
  • 2002REIT Risk Premium Sensitivity and Interest Rates79 cited
  • 1998Modelling Use, Investment, and Development in the British Office Market76 cited
  • 2009What determines the capital structure of real estate companies?57 cited

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  • 2000Forecasting Models of Retail Rents47 cited
  • 2001Returns and Risk on Real Estate and Other Investments: More Evidence46 cited
  • 2006Macroeconomic risk factors in Australian commercial real estate, listed property trust and property sector stock returns45 cited
  • 2001Testing for bubbles in indirect property price cycles39 cited
  • 2007REITs’ dynamics under structural change with unknown break points39 cited
  • 2008Common factors in international securitized real estate markets38 cited
  • 2004Time-Varying Macroeconomic Risk and Commercial Real Estate: An Asset Pricing Perspective36 cited
  • 2017Low‐frequency volatility of real estate securities and macroeconomic risk35 cited
  • 2001Forecasting real estate returns using financial spreads35 cited
  • 2003International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks32 cited
  • 1998Real Interest Regimes and Real Estate Performance: A Comparison of U.K. and U.S. Markets31 cited