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The inflation‐hedging characteristics of Australian commercial property: 1984‐1995
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The inflation‐hedging characteristics of Australian commercial property: 1984‐1995 (1996)The inflation‐hedging characteristics of …On the Pricing of Contingent Claims and the Modigliani–Miller Theorem (2019)On the Pricing of Contingent …Property investment and the capital markets (1991)Property investment and the c…Risk and Return on Real Estate: Evidence from Equity REITs (1990)Risk and Return on Real Estat…The Inflation-Hedging Effectiveness of Real Estate (1989)The Inflation-Hedging Effecti…Owner-occupied homes, income-producing properties, and REITs as inflation hedges: Empirical findings (1988)Owner-occupied homes, income-…Real Estate Returns and Inflation (1987)Real Estate Returns and Infla…Asset Pricing and Expected Inflation (1986)Asset Pricing and Expected In…Real Estate Returns: A Comparison with Other Investments (1984)Real Estate Returns: A Compar…Real Estate Investment Funds: Performance and Portfolio Considerations (1984)Real Estate Investment Funds:…Commodity futures as a hedge against inflation (1983)Commodity futures as a hedge …Inflation, real returns and capital investment (1982)Inflation, real returns and c…Risk-adjusted discount rates and capital budgeting under uncertainty (1977)Risk-adjusted discount rates …Asset returns and inflation (1977)Asset returns and inflationThe "Fisher Effect" for Risky Assets: An Empirical Investigation (1976)The "Fisher Effect" for Risky…THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION (1976)THE “FISHER EFFECT” FOR RISKY…INFLATION AND RATES OF RETURN ON COMMON STOCKS (1976)INFLATION AND RATES OF RETURN…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)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)Prices for State-Contingent Claims: Some Estimates and Applications (1978)Residual Earnings Valuation With Risk and Stochastic Interest Rates (1999)A real options evaluation model for the diffusion prospects of new renewable power generation technologies (2006)Equilibrium in a Capital Asset Market (1966)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)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)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Decline of Inflation and the Bull Market of 1982-1999 (2002)Macro variables and international stock return predictability (2004)Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore's All-S Sector Indices (2005)Short- Term Interest Rates as Predictors of Inflation (2021)COMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)Refining the Analysis of Regional Diversification for Income-Producing Real Estate (1987)Real Estate Returns and the Macroeconomy: Some Empirical Evidence from Real Estate Investment Trust Data, 1972-1991 (1994)Real Estate Cycles and Their Strategic Implications for Investors and Portfolio Managers in the Global Economy (1999)Economic Forces and the Stock Market (1986)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)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)Stock Market Returns and Inflation: Evidence from Other Countries (1983)Forecasting stock market returns: The sum of the parts is more than the whole (2011)How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements (2013)Do Real Estate Prices and Stock Prices Move Together? An International Analysis (1999)The Relation Between Stock Prices and Inflationary Expectations: The International Evidence (1983)Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations? (2010)
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References

  • 1977Asset returns and inflation2,701 cited
  • 1976INFLATION AND RATES OF RETURN ON COMMON STOCKS567 cited
  • 1982Inflation, real returns and capital investment477 cited
  • 1977Risk-adjusted discount rates and capital budgeting under uncertainty392 cited
  • 1990Risk and Return on Real Estate: Evidence from Equity REITs365 cited
  • 1976THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION357 cited
  • 1984Real Estate Returns: A Comparison with Other Investments335 cited
  • 1976The "Fisher Effect" for Risky Assets: An Empirical Investigation285 cited
  • 1984Real Estate Investment Funds: Performance and Portfolio Considerations224 cited
  • 1987Real Estate Returns and Inflation217 cited
  • 1986Asset Pricing and Expected Inflation186 cited
  • 2019On the Pricing of Contingent Claims and the Modigliani–Miller Theorem177 cited
  • 1991Property investment and the capital markets144 cited
  • 1989The Inflation-Hedging Effectiveness of Real Estate130 cited
  • 1988Owner-occupied homes, income-producing properties, and REITs as inflation hedges: Empirical findings128 cited
  • 1983

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Commodity futures as a hedge against inflation
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