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The Allocation of Real Estate to Future Mixed-Asset Institutional Portfolios
6 references·2 citing·31 second hop
The Allocation of Real Estate to Future Mixed-Asset Institutional Portfolios (1992)The Allocation of Real Estate to Future M…Stocks, bonds, bills, and inflation yearbook (1993)Stocks, bonds, bills, and inf…Equity Real Estate Investment Trusts and Real Estate Returns (1990)Equity Real Estate Investment…Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns (1989)Estimating Real Estate's Syst…DIVERSIFICATION GAINS FROM INCLUDING REAL ESTATE IN MIXED‐ASSET PORTFOLIOS* (1988)DIVERSIFICATION GAINS FROM IN…A Note on the use of Appraisal Data in Indexes of Performance Measurement (1988)A Note on the use of Appraisa…Real Estate Investment Funds: Performance and Portfolio Considerations (1984)Real Estate Investment Funds:…The diverging role of the systematic risk factors: evidence from real estate stock markets (2015)The diverging role of the sys…The Hedged REIT Index and Mixed-Asset Portfolios (1996)The Hedged REIT Index and Mix…The arbitrage theory of capital asset pricing (1976)Price Discovery in American and British Property Markets (1995)The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns (2001)The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Equilibrium in a Capital Asset Market (1966)Real Estate Returns and Inflation (1987)Price formation and the appraisal function in real estate markets (1991)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Real Estate Returns: A Comparison with Other Investments (1984)Empirical Tests of the Consumption‐Oriented CAPM (1989)Smoothing in Commercial Property Valuations: Evidence from Individual Appraisals (2001)Do Out‐of‐State Buyers Pay More for Real Estate? An Examination of Anchoring‐Induced Bias and Search Costs (2004)Illiquidity and Pricing Biases in the Real Estate Market (2007)Portfolio Selection: Efficient Diversification of Investments. (1962)Estimation Risk and Optimal Portfolio Choice. (1980)Diversification Categories in Investment Real Estate (1986)Bias in Appraisal‐Based Returns (1989)Appraisal Smoothing: The Other Side of the Story (1998)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)PORTFOLIO SELECTION* (1952)Liquidity Preference as Behavior Towards Risk (1958)The allocation to property in the multi‐asset portfolio: The evidence and theory reconsidered (1992)Real Estate Returns and Inflation: An Added Variable Approach (1998)Diversification Issues in Real Estate Investment (1999)20% in Real Estate (1984)The Search for the Best Financial Performance Measure (1997)Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of Business, University of Chicago. A portion of this research was completed while Lumsdaine was a National Fellow at the Hoover Institution. We also thank the Financial Research Center at Princeton University for support. A previous version of this paper circulated as `Public Information and the Persistence of Bond Market Volatility'.1 (1998)Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth (2005)
this work references cited by second hop

References

  • 1993Stocks, bonds, bills, and inflation yearbook379 cited
  • 1990Equity Real Estate Investment Trusts and Real Estate Returns253 cited
  • 1984Real Estate Investment Funds: Performance and Portfolio Considerations224 cited
  • 1989Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns185 cited
  • 1988A Note on the use of Appraisal Data in Indexes of Performance Measurement93 cited
  • 1988DIVERSIFICATION GAINS FROM INCLUDING REAL ESTATE IN MIXED‐ASSET PORTFOLIOS*88 cited

Cited by

  • 2015The diverging role of the systematic risk factors: evidence from real estate stock markets17 cited
  • 1996The Hedged REIT Index and Mixed-Asset Portfolios17 cited

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