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An Examination of the Small-Firm Effect within the REIT Industry
11 references·16 citing·38 second hop
An Examination of the Small-Firm Effect within the REIT Industry (1991)An Examination of the Small-Firm Effect w…An exploratory investigation of the firm size effect (1985)An exploratory investigation …Differential information and the small firm effect (1984)Differential information and …Transaction costs and the small firm effect (1983)Transaction costs and the sma…Transaction costs and the small firm effect (1983)Transaction costs and the sma…Pay attention to neglected firms!* (1983)Pay attention to neglected fi…A Direct Test of Roll's Conjecture on the Firm Size Effect (1982)A Direct Test of Roll's Conje…The relationship between return and market value of common stocks (1981)The relationship between retu…Misspecification of capital asset pricing (1981)Misspecification of capital a…A Possible Explanation of the Small Firm Effect (1981)A Possible Explanation of the…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…REIT Operational Efficiency: Performance, Risk, and Return (2018)REIT Operational Efficiency: …Spillover Risks in REITs and other Asset Markets (2016)Spillover Risks in REITs and …The capital structure determinants of REITs. Is it a peculiar industry? (2008)The capital structure determi…Idiosyncratic Risk and REIT Returns (2007)Idiosyncratic Risk and REIT R…On the Time‐Series Properties of Real Estate Investment Trust Betas (2005)On the Time‐Series Properties…Efficiency in the Market for REITs: Further Evidence (2005)Efficiency in the Market for …Changes in REIT Structure and Stock Performance: Evidence from the Monday Stock Anomaly (2005)Changes in REIT Structure and…Risk-Adjusted Performance of Real Estate Stocks: Evidence from Developing Markets (2004)Risk-Adjusted Performance of …Technical efficiency and economies of scale: A non-parametric analysis of REIT operating efficiency (2002)Technical efficiency and econ…Commercial Real Estate Return Performance: A Cross-Country Analysis (2002)Commercial Real Estate Return…Commercial Real Estate Return Performance: A Cross-Country Analysis (2002)Commercial Real Estate Return…Macroeconomic Variables, Firm-Specific Variables and Returns to REITs (1998)Macroeconomic Variables, Firm…Real Estate Investment Trusts and Calendar Anomalies (1997)Real Estate Investment Trusts…Economies-of-Scale for Real Estate Investment Trusts (1997)Economies-of-Scale for Real E…The Inflation-Hedging Properties of Risk Assets: The Case of REITs (1995)The Inflation-Hedging Propert…An Investigation of the Change in Real Estate Investment Trust Betas (1993)An Investigation of the Chang…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)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)The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings (1994)Transaction Costs and Asset Prices: A Dynamic Equilibrium model (1998)Bank involvement with SMEs: Beyond relationship lending (2010)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Insiders' profits, costs of trading, and market efficiency (1986)Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence (1988)Fundamentals and Stock Returns in Japan (1991)Measuring security price performance (1980)Information and the Cost of Capital (2002)Information Asymmetry, Information Precision, and the Cost of Capital (2011)Does Integrated Reporting Matter to the Capital Market? (2017)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Risk and return in an equilibrium APT (1988)New evidence on oil price and firm returns (2011)Does realized skewness predict the cross-section of equity returns? (2015)An Empirical Evaluation of Accounting Income Numbers (1968)Using daily stock returns (1985)The Cross-Section of Expected Stock Returns (1992)R2 around the world: New theory and new tests☆ (2005)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Common risk factors in the returns on stocks and bonds (1993)The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns (1989)Abnormal returns to a fundamental analysis strategy. (1998)Arbitrage risk and the book-to-market anomaly (2003)Some Empirical Tests of the Theory of Arbitrage Pricing (1983)Fundamental Indexation (2005)Volume and turn-of-the-year behavior (1984)Robustness of size and value effects in emerging equity markets, 1985–2000 (2002)Do a firm's equity returns reflect the risk of its pension plan?☆ (2006)
this work references cited by second hop

References

  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1981Misspecification of capital asset pricing1,286 cited
  • 1983Transaction costs and the small firm effect529 cited
  • 1984Differential information and the small firm effect527 cited
  • 1985An exploratory investigation of the firm size effect516 cited
  • 1981A Possible Explanation of the Small Firm Effect432 cited
  • 1983Transaction costs and the small firm effect431 cited
  • 1982A Direct Test of Roll's Conjecture on the Firm Size Effect187 cited
  • 1983Pay attention to neglected firms!*134 cited

Cited by

  • 2002Commercial Real Estate Return Performance: A Cross-Country Analysis105 cited
  • 2002Technical efficiency and economies of scale: A non-parametric analysis of REIT operating efficiency103 cited
  • 1997Economies-of-Scale for Real Estate Investment Trusts96 cited
  • 2007Idiosyncratic Risk and REIT Returns86 cited
  • 2002

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Commercial Real Estate Return Performance: A Cross-Country Analysis
83 cited
  • 1993An Investigation of the Change in Real Estate Investment Trust Betas81 cited
  • 2004Risk-Adjusted Performance of Real Estate Stocks: Evidence from Developing Markets78 cited
  • 1998Macroeconomic Variables, Firm-Specific Variables and Returns to REITs75 cited
  • 2005On the Time‐Series Properties of Real Estate Investment Trust Betas74 cited
  • 2008The capital structure determinants of REITs. Is it a peculiar industry?72 cited
  • 2005Changes in REIT Structure and Stock Performance: Evidence from the Monday Stock Anomaly72 cited
  • 2018REIT Operational Efficiency: Performance, Risk, and Return70 cited
  • 1997Real Estate Investment Trusts and Calendar Anomalies54 cited
  • 2005Efficiency in the Market for REITs: Further Evidence51 cited
  • 1995The Inflation-Hedging Properties of Risk Assets: The Case of REITs51 cited
  • 2016Spillover Risks in REITs and other Asset Markets42 cited