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Real Estate Returns and Inflation
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Real Estate Returns and Inflation (1987)Real Estate Returns and InflationShort- Term Interest Rates as Predictors of Inflation (2021)Short- Term Interest Rates as…Real Estate Investment Funds: Performance and Portfolio Considerations (1984)Real Estate Investment Funds:…Stocks, bonds, bills, and inflation : the past and the future (1982)Stocks, bonds, bills, and inf…Inflation, real returns and capital investment (1982)Inflation, real returns and c…Historic Returns and Institutional Real Estate Portfolios (1982)Historic Returns and Institut…The Adjustment of Stock Prices to Information About Inflation (1981)The Adjustment of Stock Price…Asset returns and inflation (1977)Asset returns and inflationCOMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)COMMON STOCKS AS A HEDGE AGAI…What do scientists know about inflation hedging? (2015)What do scientists know about…The Asymmetric Wealth Effect in the US Housing and Stock Markets: Evidence from the Threshold Cointegration Model (2011)The Asymmetric Wealth Effect …The Global Determinants of Direct Office Real Estate Returns (2003)The Global Determinants of Di…REIT Returns and Inflation: Perverse or Reverse Causality Effects? (2002)REIT Returns and Inflation: P…Real Estate Cycles and Their Strategic Implications for Investors and Portfolio Managers in the Global Economy (1999)Real Estate Cycles and Their …Property Market Efficiency: An Institutional Economics Perspective (1999)Property Market Efficiency: A…Office Capitalization Rates: Real Estate and Capital Market Influences (1999)Office Capitalization Rates: …Diversification Issues in Real Estate Investment (1999)Diversification Issues in Rea…REITs and Inflation: A Long-Run Perspective (1998)REITs and Inflation: A Long-R…Real Estate Returns and Inflation: An Added Variable Approach (1998)Real Estate Returns and Infla…Real Estate Valuation: The Effect of Market and Property Cycles (1994)Real Estate Valuation: The Ef…Real Estate Returns and the Macroeconomy: Some Empirical Evidence from Real Estate Investment Trust Data, 1972-1991 (1994)Real Estate Returns and the M…The Impact of Inflation and Vacancy of Real Estate Returns (1991)The Impact of Inflation and V…A Different Look at Commercial Real Estate Returns (1990)A Different Look at Commercia…The Inflation-Hedging Effectiveness of Real Estate (1989)The Inflation-Hedging Effecti…Refining the Analysis of Regional Diversification for Income-Producing Real Estate (1987)Refining the Analysis of Regi…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Efficiency of the Market for Single-Family Homes (1988)Business conditions and expected returns on stocks and bonds (1989)The Nine Nations of North America (1983)Real Estate Returns: A Comparison with Other Investments (1984)Diversification Categories in Investment Real Estate (1986)House Price Indexes: Issues and Results (1991)Real estate portfolio diversification by property type and region (1995)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Macroeconomics and Reality (1980)Economic Forces and the Stock Market (1986)Interactions Between Property and Equity Markets: An Investigation of Linkages in the United Kingdom 1972–1992 (1997)REIT Risk Premium Sensitivity and Interest Rates (2002)Real estate markets and the macroeconomy: A dynamic coherence framework (2012)Measuring Business Cycles. (1948)Foundations of Finance. (1977)Housing Market Dynamics and the Future of Housing Prices (1994)The nature of listed real estate companies: property or equity market? (2008)Performing property cycles (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Equilibrium in a Capital Asset Market (1966)The arbitrage theory of capital asset pricing (1976)Price formation and the appraisal function in real estate markets (1991)Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs? (1997)Time Series Analysis, Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Stock Returns, Real Activity, Inflation, and Money (1981)The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions (1984)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)A Cross-Sectional Test of an Investment-Based Asset Pricing Model (1996)PORTFOLIO SELECTION* (1952)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)INFLATION AND RATES OF RETURN ON COMMON STOCKS (1976)Stock returns and inflation (1987)Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)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)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Estimating betas from nonsynchronous data (1977)Stock Prices and Economic News (1984)BUBBLES AND FADS IN ASSET PRICES (1989)Dynamic analysis between the US stock returns and the macroeconomic variables (2007)A New Test of the Three-Moment Capital Asset Pricing Model (1989)Earnings and Risk Changes Surrounding Primary Stock Offers (1990)Illiquidity and Pricing Biases in the Real Estate Market (2007)
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References

  • 1977Asset returns and inflation2,701 cited
  • 2021Short- Term Interest Rates as Predictors of Inflation870 cited
  • 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION697 cited
  • 1982Inflation, real returns and capital investment477 cited
  • 1981The Adjustment of Stock Prices to Information About Inflation387 cited
  • 1984Real Estate Investment Funds: Performance and Portfolio Considerations224 cited
  • 1982Stocks, bonds, bills, and inflation : the past and the future170 cited
  • 1982Historic Returns and Institutional Real Estate Portfolios126 cited

Cited by

  • 1994Real Estate Returns and the Macroeconomy: Some Empirical Evidence from Real Estate Investment Trust Data, 1972-1991185 cited
  • 1999Real Estate Cycles and Their Strategic Implications for Investors and Portfolio Managers in the Global Economy159 cited
  • 1987Refining the Analysis of Regional Diversification for Income-Producing Real Estate155 cited
  • 1999Diversification Issues in Real Estate Investment140 cited
  • 1999Property Market Efficiency: An Institutional Economics Perspective136 cited
  • 1989The Inflation-Hedging Effectiveness of Real Estate130 cited
  • 1990A Different Look at Commercial Real Estate Returns

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110 cited
  • 1999Office Capitalization Rates: Real Estate and Capital Market Influences110 cited
  • 1994Real Estate Valuation: The Effect of Market and Property Cycles100 cited
  • 2011The Asymmetric Wealth Effect in the US Housing and Stock Markets: Evidence from the Threshold Cointegration Model99 cited
  • 1991The Impact of Inflation and Vacancy of Real Estate Returns96 cited
  • 2015What do scientists know about inflation hedging?94 cited
  • 2002REIT Returns and Inflation: Perverse or Reverse Causality Effects?93 cited
  • 1998REITs and Inflation: A Long-Run Perspective86 cited
  • 1998Real Estate Returns and Inflation: An Added Variable Approach83 cited
  • 2003The Global Determinants of Direct Office Real Estate Returns82 cited