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What Determines Stock Price Synchronicity in REITs? · Study

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ArticleWhat Determines Stock Price Synchronicity in REITs?

Richard Chung2010

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Articlegreen2010

What Determines Stock Price Synchronicity in REITs?

Richard Chung · Scott Siu Kuen Fung · James D. Shilling · Tammie X. Simmons-Mosley

23 citations·0/0 files stored·The Journal of Real Estate Finance and Economics

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Analysis and Corporate Governance

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References

1970The Market for "Lemons": Quality Uncertainty and the Market Mechanism 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1981Credit Rationing in Markets with Imperfect Information 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1985Does the Stock Market Overreact?1929Stability in Competition 1975THE 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.]

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Year2010

Typearticle

Published2010-06-30

VenueThe Journal of Real Estate Finance and Economics

ISSN-L0895-5638

Languageen

Citations23

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1007/s11146-010-9254-3

openalex_workW2023922892

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