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The role of co-skewness in the pricing of real estate
16 references·3 citing·33 second hop
The role of co-skewness in the pricing of real estate (1992)The role of co-skewness in the pricing of…Econometric Models and Economic Forecasts (1990)Econometric Models and Econom…Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns (1989)Estimating Real Estate's Syst…Empirical Tests of the Consumption‐Oriented CAPM (1989)Empirical Tests of the Consum…A New Test of the Three-Moment Capital Asset Pricing Model (1989)A New Test of the Three-Momen…THE STRUCTURE OF SKEWNESS PREFERENCES IN ASSET PRICING MODELS WITH HIGHER MOMENTS: AN EMPIRICAL TEST (1988)THE STRUCTURE OF SKEWNESS PRE…Asset Pricing, Higher Moments, and the Market Risk Premium: A Note (1985)Asset Pricing, Higher Moments…Arbitrage Equilibrium with Skewed Asset Returns (1985)Arbitrage Equilibrium with Sk…Real Estate Returns: A Comparison with Other Investments (1984)Real Estate Returns: A Compar…Potential performance and tests of portfolio efficiency (1982)Potential performance and tes…On the exclusion of assets from tests of the two-parameter model (1982)On the exclusion of assets fr…Multivariate tests of financial models (1982)Multivariate tests of financi…Co-Skewness and Capital Asset Pricing (1980)Co-Skewness and Capital Asset…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Survey of current business (1921)Survey of current businessDownside Beta and the Cross-sectional Determinants of Listed Property Trust Returns (2008)Downside Beta and the Cross-s…Real estate return correlations: Real-world limitations on relationships inferred from NCREIF data (1996)Real estate return correlatio…Statistical properties of returns: Financial assets versus commercial real estate (1994)Statistical properties of ret…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, Return, and Equilibrium: Empirical Tests (1973)Multivariate tests of the zero-beta CAPM (1985)Integration vs. Segmentation in the Canadian Stock Market (1986)Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Skewness in Asset Pricing Tests (2000)… and the Cross-Section of Expected Returns (2015)The arbitrage theory of capital asset pricing (1976)Diversification Categories in Investment Real Estate (1986)Price formation and the appraisal function in real estate markets (1991)Do Real Estate Prices and Stock Prices Move Together? An International Analysis (1999)The relationship between return and market value of common stocks (1981)Capital-skill Complementarity and Inequality: A Macroeconomic Analysis (2000)The Resurgence of Growth in the Late 1990s: Is Information Technology the Story? (2000)Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data (1989)The Pricing of Exchange Rate Risk in the Stock Market (1991)Political Risk, Economic Risk, and Financial Risk (1996)Modelling emerging market risk premia using higher moments (1999)Mixed Normal Conditional Heteroskedasticity (2004)Dependence structure and extreme comovements in international equity and bond markets (2011)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)The Influence of Top Management Team Heterogeneity on Firms' Competitive Moves (1996)The analysis of household surveys (1997)Veto Players. How Political Institutions Work (2003)The real term structure and consumption growth (1988)Empirical pricing kernels (2002)A Consumption‐Based Explanation of Expected Stock Returns (2006)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)
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References

  • 1990Econometric Models and Economic Forecasts4,945 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1921Survey of current business2,134 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1989Empirical Tests of the Consumption‐Oriented CAPM705 cited
  • 1982Multivariate tests of financial models614 cited
  • 1982On the exclusion of assets from tests of the two-parameter model507 cited
  • 1984Real Estate Returns: A Comparison with Other Investments335 cited
  • 1980Co-Skewness and Capital Asset Pricing271 cited
  • 1982Potential performance and tests of portfolio efficiency266 cited
  • 1989Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns185 cited
  • 1989A New Test of the Three-Moment Capital Asset Pricing Model167 cited
  • 1985Arbitrage Equilibrium with Skewed Asset Returns140 cited
  • 1985Asset Pricing, Higher Moments, and the Market Risk Premium: A Note96 cited
  • 1988

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THE STRUCTURE OF SKEWNESS PREFERENCES IN ASSET PRICING MODELS WITH HIGHER MOMENTS: AN EMPIRICAL TEST
55 cited

Cited by

  • 1994Statistical properties of returns: Financial assets versus commercial real estate73 cited
  • 1996Real estate return correlations: Real-world limitations on relationships inferred from NCREIF data31 cited
  • 2008Downside Beta and the Cross-sectional Determinants of Listed Property Trust Returns30 cited