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The role of Malaysian securitised real estate in a mixed‐asset portfolio
16 references·2 citing·36 second hop
The role of Malaysian securitised real estate in a mixed‐asset portfolio (2009)The role of Malaysian securitised real es…The Growth of REIT Markets in Asia (2006)The Growth of REIT Markets in…Downside Risk (2006)Downside RiskThe Case for REITs in the Mixed-Asset Portfolio in the Short and Long Run (2005)The Case for REITs in the Mix…The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns (2003)The Relative Importance of St…Public and Private Real Estate in a Mixed-Asset Portfolio (2003)Public and Private Real Estat…The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns (2001)The Time-Varying Nature of th…Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)Further Evidence on the Integ…Asset Allocation in a Downside Risk Framework (2000)Asset Allocation in a Downsid…The Integration of Commercial Real Estate Markets and Stock Markets (1999)The Integration of Commercial…The Predictability of REIT Returns and Market Segmentation (1995)The Predictability of REIT Re…Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison (1993)Return Properties of Equity R…Optimal rules for ordering uncertain prospects (1975)Optimal rules for ordering un…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Computation of the Efficient Boundary in the E-S Portfolio Selection Model (1972)Computation of the Efficient …Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Safety First and the Holding of Assets (1952)Safety First and the Holding …Transparency in Malaysian property companies (2012)Transparency in Malaysian pro…The Dynamics of Returns and Volatility in the Emerging and Developed Asian Reit Markets (2012)The Dynamics of Returns and V…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)A New Class of Tests of Contagion With Applications (2010)Capital market equilibrium in a mean-lower partial moment framework (1977)A Brief History of Downside Risk Measures (1999)A linear model for tracking error minimization (1999)Increased Correlation in Bear Markets (2002)The Econometric Analysis of Time Series. (1983)Commercial Real Estate Analysis and Investments (2000)Multivariate Modeling of Daily REIT Volatility (2006)Dynamic Correlations Among Asset Classes: REIT and Stock Returns (2010)Are REITs real estate? Evidence from international sector level data (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices (2003)Markets contagion during financial crisis: A regime-switching approach (2010)The Behavior of Stock-Market Prices (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)On Persistence in Mutual Fund Performance (1997)The effect of estimation risk on optimal portfolio choice (1976)Chapter 2 Measurement of inequality (2000)Theory of games and economic behavior (2019)Common risk factors in the returns on stocks and bonds (1993)Herding and Feedback Trading by Institutional and Individual Investors (1999)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2000)Public Versus Private Real Estate Equities: A More Refined, Long-Term Comparison (2005)The Degree of Financial Liberalization and Aggregated Stock-Return Volatility in Emerging Markets (2009)Prospect Theory: An Analysis of Decision under Risk (1979)Carry Trades and Global Foreign Exchange Volatility (2012)Tail Risk and Asset Prices (2014)Replicating Anomalies (2018)On the Measurement of Poverty (1987)An Engine, Not a Camera (2006)Bank activity and funding strategies: The impact on risk and returns☆ (2010)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1952Safety First and the Holding of Assets2,537 cited
  • 2006Downside Risk1,039 cited
  • 1975Optimal rules for ordering uncertain prospects860 cited
  • 2000Asset Allocation in a Downside Risk Framework325 cited
  • 2000Further Evidence on the Integration of REIT, Bond, and Stock Returns318 cited
  • 1999The Integration of Commercial Real Estate Markets and Stock Markets290 cited
  • 2003The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns254 cited
  • 2001The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns229 cited
  • 1993Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison207 cited
  • 1995The Predictability of REIT Returns and Market Segmentation139 cited
  • 1972Computation of the Efficient Boundary in the E-S Portfolio Selection Model136 cited
  • 2006The Growth of REIT Markets in Asia113 cited
  • 2005The Case for REITs in the Mixed-Asset Portfolio in the Short and Long Run109 cited

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  • 2003Public and Private Real Estate in a Mixed-Asset Portfolio94 cited
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    • 2012The Dynamics of Returns and Volatility in the Emerging and Developed Asian Reit Markets33 cited
    • 2012Transparency in Malaysian property companies16 cited