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The Short-Term Inflation-Hedging Characteristics of U.K. Real Estate
16 references·0 citing·42 second hop
The Short-Term Inflation-Hedging Characteristics of U.K. Real Estate (1997)The Short-Term Inflation-Hedging Characte…Forecasting, structural time series models and the kalman filter (2002)Forecasting, structural time …Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)Estimating Market Values from…The Stock Market and Investment (1990)The Stock Market and Investme…Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Stock returns and inflation (1987)Stock returns and inflationA comparison of inflation forecasts (1984)A comparison of inflation for…The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…Stock Market Returns and Inflation: Evidence from Other Countries (1983)Stock Market Returns and Infl…Inflation, real returns and capital investment (1982)Inflation, real returns and c…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Inflation, Rational Valuation and the Market (1979)Inflation, Rational Valuation…Asset returns and inflation (1977)Asset returns and inflationPortfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Stock Returns and the Term Structure (1985)Oil price shocks and stock market activity (1999)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Asset Prices in an Exchange Economy (1978)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)A General Equilibrium Approach To Monetary Theory (1969)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Stock Returns and Real Activity: A Century of Evidence (1990)Contrarian Investment, Extrapolation, and Risk (1993)The Stock Market and Corporate Investment: A Test of Catering Theory (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Asset Pricing at the Millennium (2000)Beyond Greed and Fear (2002)Behavioral finance (2003)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1990Stock Returns, Expected Returns, and Real Activity1,553 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 1979Inflation, Rational Valuation and the Market944 cited
  • 1990The Stock Market and Investment691 cited
  • 1982Inflation, real returns and capital investment477 cited
  • 1987Stock returns and inflation426 cited
  • 1993Estimating Market Values from Appraised Values without Assuming an Efficient Market420 cited
  • 1983Stock Market Returns and Inflation: Evidence from Other Countries404 cited
  • 2002Forecasting, structural time series models and the kalman filter398 cited
  • 1984A comparison of inflation forecasts

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