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Determinants and information of REIT pricing
8 references·1 citing·34 second hop
Determinants and information of REIT pricing (2011)Determinants and information of REIT pric…The Information Content of the NCREIF Index (2009)The Information Content of th…The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Cl…Risk and Return on Real Estate: Evidence from Equity REITs (1990)Risk and Return on Real Estat…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Integration between the Asian REIT markets and macroeconomic variables (2016)Integration between the Asian…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Common risk factors in the returns on stocks and bonds (1993)Dynamic Interactions Between Private and Public Real Estate Markets: Some International Evidence (2010)Searching for a Common Factor in Public and Private Real Estate Returns (2013)Do Public Real Estate Returns Really Lead Private Returns? (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Asymmetric correlations of equity portfolios (2002)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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Dividend yields and expected stock returns (1988)Noise Trader Risk in Financial Markets (1990)Herding and Feedback Trading by Institutional and Individual Investors (1999)Retail Investor Sentiment and Return Comovements (2006)Does Academic Research Destroy Stock Return Predictability? (2015)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Performance measurement with the arbitrage pricing theory (1986)The predictability of returns on equity REITs and their co-movement with other assets (1992)The Integration of Commercial Real Estate Markets and Stock Markets (1999)Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Industry costs of equity (1997)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 1991Investor Sentiment and the Closed-End Fund Puzzle1,508 cited
  • 1990Risk and Return on Real Estate: Evidence from Equity REITs365 cited
  • 2009The Information Content of the NCREIF Index42 cited

Cited by

  • 2016Integration between the Asian REIT markets and macroeconomic variables26 cited

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