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Diversification Issues in Real Estate Investment
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Diversification Issues in Real Estate Investment (1999)Diversification Issues in Real Estate Inv…Value indices of commercial real estate: A comparison of index construction methods (1994)Value indices of commercial r…Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)Estimating Market Values from…What Does the Stock Market Tell Us About Real Estate Returns? (1992)What Does the Stock Market Te…Edge city: life on the new frontier (1992)Edge city: life on the new fr…A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)A Further Analysis of the Lea…Smoothing in appraisal-based returns (1991)Smoothing in appraisal-based …Risk and return in real estate (1991)Risk and return in real estateRisk and Return on Real Estate: Evidence from Equity REITs (1990)Risk and Return on Real Estat…Forecasting Prices and Excess Returns in the Housing Market (1990)Forecasting Prices and Excess…The Efficiency of the Market for Single-Family Homes (1988)The Efficiency of the Market …Integration vs. Segmentation in the Canadian Stock Market (1986)Integration vs. Segmentation …Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Real Estate Returns: A Comparison with Other Investments (1984)Real Estate Returns: A Compar…The Nine Nations of North America (1983)The Nine Nations of North Ame…Asset returns and inflation (1977)Asset returns and inflationInvestigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Choice with Limited Capacity (2019)Choice with Limited CapacityEvidence of contagion in global REITs investment (2014)Evidence of contagion in glob…Spatial Linkages in Returns and Volatilities among U.S. Regional Housing Markets (2012)Spatial Linkages in Returns a…REITs and Correlations with Other Asset Classes: A European Perspective (2010)REITs and Correlations with O…Real Estate Mergers: Corporate Control & Shareholder Wealth (2010)Real Estate Mergers: Corporat…Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value (2009)Time and Risk Diversification…The Role of Singapore REITs in a Downside Risk Asset Allocation Framework (2003)The Role of Singapore REITs i…International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks (2003)International evidence on the…Returns and Risk on Real Estate and Other Investments: More Evidence (2001)Returns and Risk on Real Esta…Rational herding in financial economics (1996)Is There a Bubble in the Housing Market? (2003)Distance and Private Information in Lending (2010)Short- Term Interest Rates as Predictors of Inflation (2021)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Do Real Estate Prices and Stock Prices Move Together? An International Analysis (1999)Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)Capital Market Equilibrium with Restricted Borrowing (1972)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)An Information Based Explanation of the Domestic Bias in International Equity Investment (1993)International Cross‐Listing and Order Flow Migration: Evidence from an Emerging Market (1998)Common and fundamental factors in stock returns of Canadian oil and gas companies (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)An Intertemporal Capital Asset Pricing Model (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)The Integration of Commercial Real Estate Markets and Stock Markets (1999)Expected stock returns and volatility (1987)The Relation Between Price Changes and Trading Volume: A Survey (1987)A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Trading in Stock Index Futures (1991)Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Trading costs and the relative rates of price discovery in stock, futures, and option markets (1996)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Dividend yields and expected stock returns (1988)Bubbles in Metropolitan Housing Markets (1994)A Simple Error Correction Model of House Prices (1999)Money Illusion and Housing Frenzies (2007)Is Los Angeles-Style Sprawl Desirable? (1997)Rethinking Environmental Racism: White Privilege and Urban Development in Southern California (2000)Urban tourism research: Recent progress and current paradoxes (2010)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1977Asset returns and inflation2,701 cited
  • 1992Edge city: life on the new frontier2,108 cited
  • 1988The Efficiency of the Market for Single-Family Homes1,828 cited
  • 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited
  • 1990Forecasting Prices and Excess Returns in the Housing Market582 cited
  • 1986Integration vs. Segmentation in the Canadian Stock Market439 cited
  • 1992What Does the Stock Market Tell Us About Real Estate Returns?438 cited
  • 1991Smoothing in appraisal-based returns425 cited
  • 1993Estimating Market Values from Appraised Values without Assuming an Efficient Market420 cited
  • 1983The Nine Nations of North America414 cited
  • 1990Risk and Return on Real Estate: Evidence from Equity REITs365 cited
  • 1984Real Estate Returns: A Comparison with Other Investments335 cited
  • 1991Risk and return in real estate292 cited
  • 1994

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Value indices of commercial real estate: A comparison of index construction methods
286 cited

Cited by

  • 2012Spatial Linkages in Returns and Volatilities among U.S. Regional Housing Markets97 cited
  • 2001Returns and Risk on Real Estate and Other Investments: More Evidence46 cited
  • 2009Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value35 cited
  • 2003International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks32 cited
  • 2014Evidence of contagion in global REITs investment30 cited
  • 2010REITs and Correlations with Other Asset Classes: A European Perspective30 cited
  • 2003The Role of Singapore REITs in a Downside Risk Asset Allocation Framework30 cited
  • 2010Real Estate Mergers: Corporate Control & Shareholder Wealth24 cited
  • 2019Choice with Limited Capacity1 cited