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Prices, Rents and Rational Speculative Bubbles in the Sydney Housing Market*
16 references·0 citing·37 second hop
Prices, Rents and Rational Speculative Bubbles in the Sydney Housing Market* (2008)Prices, Rents and Rational Speculative Bu…Money Illusion and Housing Frenzies (2007)Money Illusion and Housing Fr…Exchange Rate Models Are Not as Bad as You Think (2007)Exchange Rate Models Are Not …Explaining House Prices in Australia: 1970–2003* (2005)Explaining House Prices in Au…OWNER-OCCUPIED HOUSING AS A HEDGE AGAINST RENT RISK (2003)OWNER-OCCUPIED HOUSING AS A H…Testing the Present Value Relation for Housing Prices: Should I Leave My House in San Francisco? (1994)Testing the Present Value Rel…Explaining the Variance of Price–Dividend Ratios (1992)Explaining the Variance of Pr…Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …On Testing for Speculative Bubbles (1990)On Testing for Speculative Bu…Forecasting Prices and Excess Returns in the Housing Market (1990)Forecasting Prices and Excess…The Efficiency of the Market for Single-Family Homes (1988)The Efficiency of the Market …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Inflation, Rational Valuation and the Market (1979)Inflation, Rational Valuation…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…Rational herding in financial economics (1996)Is There a Bubble in the Housing Market? (2003)Distance and Private Information in Lending (2010)Short- Term Interest Rates as Predictors of Inflation (2021)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)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)Tax Subsidies to Owner-Occupied Housing: An Asset-Market Approach (1984)Consumption and Liquidity Constraints: An Empirical Investigation (1989)Household Risk Management and Optimal Mortgage Choice (2003)The social and private micro-level consequences of homeownership (2003)The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium (2016)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Dividend yields and expected stock returns (1988)Bubbles in Metropolitan Housing Markets (1994)A Simple Error Correction Model of House Prices (1999)Expected stock returns and volatility (1987)Business conditions and expected returns on stocks and bonds (1989)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Expected Stock Returns and Variance Risk Premia (2009)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)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)Stock Prices, Earnings, and Expected Dividends (1988)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Presidential Address: Discount Rates (2011)Intrinsic Bubbles: The Case of Stock Prices (1989)Movements in the Equity Premium (1993)The Finite Horizon Expected Return Model (1997)
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References

  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1988The Efficiency of the Market for Single-Family Homes1,828 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
  • 1963The Investment, Financing, and Valuation of the Corporation958 cited
  • 1979Inflation, Rational Valuation and the Market944 cited
  • 2003OWNER-OCCUPIED HOUSING AS A HEDGE AGAINST RENT RISK743 cited
  • 1990Forecasting Prices and Excess Returns in the Housing Market582 cited
  • 1963The Investment, Financing, and Valuation of the Corporation.483 cited
  • 1992Explaining the Variance of Price–Dividend Ratios482 cited
  • 2007Exchange Rate Models Are Not as Bad as You Think431 cited
  • 2007Money Illusion and Housing Frenzies426 cited
  • 1990On Testing for Speculative Bubbles385 cited
  • 1994Testing the Present Value Relation for Housing Prices: Should I Leave My House in San Francisco?250 cited

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  • 2005Explaining House Prices in Australia: 1970–2003*197 cited
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