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REIT Stock Prices with Inflation Hedging and Illusion
16 references·1 citing·41 second hop
REIT Stock Prices with Inflation Hedging and Illusion (2010)REIT Stock Prices with Inflation Hedging …The Quarterly Journal of Economics (2024)The Quarterly Journal of Econ…Money Illusion and Housing Frenzies (2007)Money Illusion and Housing Fr…Inflation Illusion and Stock Prices (2004)Inflation Illusion and Stock …What Drives Firm‐Level Stock Returns? (2002)What Drives Firm‐Level Stock …Does Money Illusion Matter? (2001)Does Money Illusion Matter?Disappearing dividends: changing firm characteristics or lower propensity to pay? (2001)Disappearing dividends: chang…A VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…Inflation, Rational Valuation and the Market (1979)Inflation, Rational Valuation…Asset returns and inflation (1977)Asset returns and inflationCOMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)COMMON STOCKS AS A HEDGE AGAI…The Investment, Financing, and Valuation of the Corporation. (1963)The Investment, Financing, an…The Investment, Financing, and Valuation of the Corporation (1963)The Investment, Financing, an…The Theory of Investment Value, by John Burr Williams (1939)The Theory of Investment Valu…Exchange rate exposure of REITs (2016)Exchange rate exposure of REI…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)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)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)Stock Returns, Expected Returns, and Real Activity (1990)Oil price shocks and stock market activity (1999)Risk, Return, and Equilibrium: Empirical Tests (1973)Corporate financing and investment decisions when firms have information that investors do not have (1984)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks (2011)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Business conditions and expected returns on stocks and bonds (1989)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Presidential Address: Discount Rates (2011)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Industry Concentration and Average Stock Returns (2003)Market Reactions to Tangible and Intangible Information (2006)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Asset Pricing at the Millennium (2000)Beyond Greed and Fear (2002)Behavioral finance (2003)Investor Psychology and Asset Pricing (2001)A Theory of Fairness, Competition, and Cooperation (1999)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)The Skill Content of Recent Technological Change: An Empirical Exploration (2003)
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References

  • 2024The Quarterly Journal of Economics7,176 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 2001Disappearing dividends: changing firm characteristics or lower propensity to pay?3,039 cited
  • 1977Asset returns and inflation2,701 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • 2002What Drives Firm‐Level Stock Returns?1,003 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 1963The Investment, Financing, and Valuation of the Corporation958 cited
  • 1979Inflation, Rational Valuation and the Market944 cited
  • 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION697 cited
  • 1939The Theory of Investment Value, by John Burr Williams623 cited
  • 1963The Investment, Financing, and Valuation of the Corporation.483 cited
  • 2004Inflation Illusion and Stock Prices473 cited
  • 2007Money Illusion and Housing Frenzies426 cited
  • 2001Does Money Illusion Matter?

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  • 2016Exchange rate exposure of REITs24 cited