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Diversification Categories in Investment Real Estate
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Diversification Categories in Investment Real Estate (1986)Diversification Categories in Investment …Short- Term Interest Rates as Predictors of Inflation (2021)Short- Term Interest Rates as…Real Estate Returns: A Comparison with Other Investments (1984)Real Estate Returns: A Compar…Real Estate Investment Funds: Performance and Portfolio Considerations (1984)Real Estate Investment Funds:…Risk Reduction and Portfolio Size: An Analytical Solution (1977)Risk Reduction and Portfolio …Asset returns and inflation (1977)Asset returns and inflationThe arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…How Does Appraisal Smoothing Bias Real Estate Returns Measurement? (2006)How Does Appraisal Smoothing …Office Capitalization Rates: Real Estate and Capital Market Influences (1999)Office Capitalization Rates: …Diversification Issues in Real Estate Investment (1999)Diversification Issues in Rea…International Evidence on Real Estate Securities as an Inflation Hedge (1997)International Evidence on Rea…The Role of Real Estate in the Portfolio Allocation Process (1996)The Role of Real Estate in th…Real estate portfolio diversification by property type and region (1995)Real estate portfolio diversi…Clustering Methods for Real Estate Portfolios (1995)Clustering Methods for Real E…Refining Economic Diversification Strategies for Real Estate Portfolios (1993)Refining Economic Diversifica…Factors Influencing Capitalization Rates (1993)Factors Influencing Capitaliz…Retail Leasing: The Determinants of Shopping Center Rents (1990)Retail Leasing: The Determina…Inferring an Investment Return Series for Real Estate from Observations on Sales (1989)Inferring an Investment Retur…Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns (1989)Estimating Real Estate's Syst…Owner-occupied homes, income-producing properties, and REITs as inflation hedges: Empirical findings (1988)Owner-occupied homes, income-…A Note on the use of Appraisal Data in Indexes of Performance Measurement (1988)A Note on the use of Appraisa…Refining the Analysis of Regional Diversification for Income-Producing Real Estate (1987)Refining the Analysis of Regi…Portfolio Diversification and Return Benefits— Common Stock vs. Real Estate Investment Trusts (REITs) (1987)Portfolio Diversification and…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Efficiency of the Market for Single-Family Homes (1988)Business conditions and expected returns on stocks and bonds (1989)The Nine Nations of North America (1983)House Price Indexes: Issues and Results (1991)Equilibrium in a Capital Asset Market (1966)Real Estate Returns and Inflation (1987)Price formation and the appraisal function in real estate markets (1991)Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs? (1997)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)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)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)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)COMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)Commercial Real Estate Return Performance: A Cross-Country Analysis (2002)REIT Returns and Inflation: Perverse or Reverse Causality Effects? (2002)Investing in International Real Estate Stocks: A Review of the Literature (2003)On Diversification Given Asymmetry in Returns (1981)The adequacy of investment choices offered by 401(k) plans (2005)Socially Responsible Mutual Funds (2015)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Do Real Estate Prices and Stock Prices Move Together? An International Analysis (1999)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1977Asset returns and inflation2,701 cited
  • 2021Short- Term Interest Rates as Predictors of Inflation870 cited
  • 1984Real Estate Returns: A Comparison with Other Investments335 cited
  • 1977Risk Reduction and Portfolio Size: An Analytical Solution278 cited
  • 1984Real Estate Investment Funds: Performance and Portfolio Considerations224 cited

Cited by

  • 1989Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns185 cited
  • 1987Refining the Analysis of Regional Diversification for Income-Producing Real Estate155 cited
  • 1997International Evidence on Real Estate Securities as an Inflation Hedge143 cited
  • 1999Diversification Issues in Real Estate Investment140 cited
  • 1988Owner-occupied homes, income-producing properties, and REITs as inflation hedges: Empirical findings128 cited
  • 1996The Role of Real Estate in the Portfolio Allocation Process115 cited
  • 1995Real estate portfolio diversification by property type and region112 cited
  • 1999Office Capitalization Rates: Real Estate and Capital Market Influences

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110 cited
  • 1990Retail Leasing: The Determinants of Shopping Center Rents109 cited
  • 1993Refining Economic Diversification Strategies for Real Estate Portfolios104 cited
  • 1989Inferring an Investment Return Series for Real Estate from Observations on Sales101 cited
  • 1988A Note on the use of Appraisal Data in Indexes of Performance Measurement93 cited
  • 1993Factors Influencing Capitalization Rates91 cited
  • 1987Portfolio Diversification and Return Benefits— Common Stock vs. Real Estate Investment Trusts (REITs)90 cited
  • 2006How Does Appraisal Smoothing Bias Real Estate Returns Measurement?86 cited
  • 1995Clustering Methods for Real Estate Portfolios85 cited