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Investing for the Long-Run in European Real Estate
16 references·1 citing·45 second hop
Investing for the Long-Run in European Real Estate (2006)Investing for the Long-Run in European Re…Owner-Occupied Housing and the Composition of the Household Portfolio (2002)Owner-Occupied Housing and th…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Consumption and Portfolio Dec…Strategic asset allocation (1997)Strategic asset allocationOn the Predictability of Stock Returns: An Asset‐Allocation Perspective (1996)On the Predictability of Stoc…Predictability of Stock Returns: Robustness and Economic Significance (1995)Predictability of Stock Retur…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Theory of Financial Decision Making. (1988)Theory of Financial Decision …Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Asset returns and inflation (1977)Asset returns and inflationLIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Hedging inflation risk in a developing economy: The case of Brazil (2012)Hedging inflation risk in a d…MONEY, INCOME, AND CAUSALITY (1972)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)The Variation of Economic Risk Premiums (1991)Expected Stock Returns and Variance Risk Premia (2009)Aspects of the Theory of Risk-Bearing. (1966)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to Measuring Financial Contagion (2003)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? (2011)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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Does the Stock Market Overreact? (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Investor Psychology and Asset Pricing (2001)The Efficient Market Hypothesis and Its Critics (2003)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Downside Risk (2006)
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References

  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 1999Consumption and Portfolio Decisions when Expected Returns are Time Varying1,035 cited
  • 1995Predictability of Stock Returns: Robustness and Economic Significance1,034 cited
  • 2002Owner-Occupied Housing and the Composition of the Household Portfolio832 cited
  • 1997Strategic asset allocation730 cited
  • 1996On the Predictability of Stock Returns: An Asset‐Allocation Perspective

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  • 2012Hedging inflation risk in a developing economy: The case of Brazil21 cited