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Real Estate and the Arbitrage Pricing Theory: Macrovariables vs. Derived Factors
13 references·9 citing·39 second hopsampled
Real Estate and the Arbitrage Pricing Theory: Macrovariables vs. Derived Factors (1997)Real Estate and the Arbitrage Pricing The…Some empirical tests in the arbitrage pricing theory: Macro variables vs. derived factors (1993)Some empirical tests in the a…Risk and Return on Real Estate: Evidence from Equity REITs (1990)Risk and Return on Real Estat…Interest-Rate Sensitivity of Real Estate Investment Trusts (1988)Interest-Rate Sensitivity of …Risk and the Performance of Real Estate Investment Trusts: A Multiple Index Approach (1986)Risk and the Performance of R…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Real Estate Investment Funds: Performance and Portfolio Considerations (1984)Real Estate Investment Funds:…Arbitrage Pricing Theory and Utility Stock Returns (1984)Arbitrage Pricing Theory and …A comparison of inflation forecasts (1984)A comparison of inflation for…Some Empirical Tests of the Theory of Arbitrage Pricing (1983)Some Empirical Tests of the T…A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm (1983)A New Approach to Testing Ass…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…What drives dynamic connectedness of the U.S equity sectors during different business cycles? (2021)What drives dynamic connected…Financial Indices, Joint Ventures and Strategic Alliances Invalidate Cumulative Prospect Theory, Third-Generation Prospect Theory, Related Approaches and Intertemporal Asset Pricing Theory: HCI and Three New Decision Models (2018)Financial Indices, Joint Vent…The impact of macroeconomic factors on the real estate investment trust index return on Japan, Singapore and China (2016)The impact of macroeconomic f…Anomalies in Net Present Value, Returns and Polynomials, and Regret Theory in Decision-Making (2016)Anomalies in Net Present Valu…The Underlying Return‐Generating Factors for REIT Returns: An Application of Independent Component Analysis (2007)The Underlying Return‐Generat…The determinants of stock returns in a small open economy (2003)The determinants of stock ret…Shocks to macroeconomic state variables and the risk premium of REITs (2003)Shocks to macroeconomic state…International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks (2003)International evidence on the…Price discovery in the Hong Kong real estate market (2001)Price discovery in the Hong K…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)Risk and Return in an Equilibrium APT (1987)The empirical foundations of the arbitrage pricing theory (1988)The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias (1992)Equilibrium in a Capital Asset Market (1966)Diversification Categories in Investment Real Estate (1986)Real Estate Returns and Inflation (1987)Price formation and the appraisal function in real estate markets (1991)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)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)Industry costs of equity (1997)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Valuing Commercial Mortgages: An Empirical Investigation of the Contingent‐Claims Approach to Pricing Risky Debt (1989)Initial public offerings of equity securities (1992)Time varying risk premia for real estate investment trusts: A GARCH-M model (2001)Foundations of Finance. (1977)Time Series Analysis: Forecasting and Control (1977)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)The Pricing of Exchange Rate Risk in the Stock Market (1991)Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets (1992)Presidential Address: Expected Return, Realized Return, and Asset Pricing Tests (1999)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)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)On the Number of Factors in the Arbitrage Pricing Model (1986)The Relation Between Mean-Variance Efficiency and Arbitrage Pricing (1987)A Measure of Stock Market Integration for Developed and Emerging Markets (1996)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1984A comparison of inflation forecasts380 cited
  • 1983Some Empirical Tests of the Theory of Arbitrage Pricing376 cited
  • 1990Risk and Return on Real Estate: Evidence from Equity REITs365 cited
  • 1984Real Estate Investment Funds: Performance and Portfolio Considerations224 cited
  • 1983A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm160 cited
  • 1986Risk and the Performance of Real Estate Investment Trusts: A Multiple Index Approach147 cited
  • 1988Interest-Rate Sensitivity of Real Estate Investment Trusts126 cited
  • 1984Arbitrage Pricing Theory and Utility Stock Returns111 cited
  • 1993Some empirical tests in the arbitrage pricing theory: Macro variables vs. derived factors86 cited

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  • 2001Price discovery in the Hong Kong real estate market76 cited
  • 2021What drives dynamic connectedness of the U.S equity sectors during different business cycles?

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48 cited
  • 2003Shocks to macroeconomic state variables and the risk premium of REITs38 cited
  • 2003The determinants of stock returns in a small open economy36 cited
  • 2003International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks32 cited
  • 2016Anomalies in Net Present Value, Returns and Polynomials, and Regret Theory in Decision-Making29 cited
  • 2016The impact of macroeconomic factors on the real estate investment trust index return on Japan, Singapore and China29 cited
  • 2007The Underlying Return‐Generating Factors for REIT Returns: An Application of Independent Component Analysis26 cited
  • 2018Financial Indices, Joint Ventures and Strategic Alliances Invalidate Cumulative Prospect Theory, Third-Generation Prospect Theory, Related Approaches and Intertemporal Asset Pricing Theory: HCI and Three New Decision Models2 cited