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Revisiting Non-normal Real Estate Return Distributions by Property Type in the U.S.
3 references·4 citing·29 second hop
Revisiting Non-normal Real Estate Return Distributions by Property Type in the U.S. (2007)Revisiting Non-normal Real Estate Return …The Shape of Australian Real Estate Return Distributions and Comparisons to the United States (1997)The Shape of Australian Real …Real estate is not normal: A fresh look at real estate return distributions (1995)Real estate is not normal: A …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Illiquidity and Portfolio Risk of Thinly Traded Assets (2010)Illiquidity and Portfolio Ris…House price dynamics, conditional higher-order moments, and density forecasts (2010)House price dynamics, conditi…The Underlying Return‐Generating Factors for REIT Returns: An Application of Independent Component Analysis (2007)The Underlying Return‐Generat…Non‐Normal Real Estate Return Distributions by Property Type in the UK (2006)Non‐Normal Real Estate Return…Portfolio Analysis in a Stable Paretian Market (1965)Diversification Categories in Investment Real Estate (1986)Spanish reits as an investment vehicle and financing source of the real state activity (2012)Generalized autoregressive conditional heteroskedasticity (1986)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Comparing Predictive Accuracy (1994)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)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)Inflation and Real Estate Investments (2011)Real Estate in a Mixed‐Asset Portfolio: The Role of the Investment Horizon (2011)The Variation of Certain Speculative Prices (1963)Measuring Tail Thickness to Estimate the Stable Index α: A Critique (1997)The variation of certain speculative prices (1997)Diversification Issues in Real Estate Investment (1999)Public Versus Private Real Estate Equities: A More Refined, Long-Term Comparison (2005)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)An Empirical Investigation of the Arbitrage Pricing Theory (1980)Economic Forces and the Stock Market (1986)Risk and Return on Real Estate: Evidence from Equity REITs (1990)Real Estate Investment Trusts (2010)Why Do Overconfident REIT CEOs Issue More Debt? Mechanisms and Value Implications (2017)REIT Property-Type Sector Integration (2000)Risk Reduction and Diversification in UK Commercial Property Portfolios (2007)
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References

  • 1965The Behavior of Stock-Market Prices8,772 cited
  • 1995Real estate is not normal: A fresh look at real estate return distributions171 cited
  • 1997The Shape of Australian Real Estate Return Distributions and Comparisons to the United States48 cited

Cited by

  • 2006Non‐Normal Real Estate Return Distributions by Property Type in the UK66 cited
  • 2010Illiquidity and Portfolio Risk of Thinly Traded Assets53 cited
  • 2007The Underlying Return‐Generating Factors for REIT Returns: An Application of Independent Component Analysis26 cited
  • 2010House price dynamics, conditional higher-order moments, and density forecasts21 cited

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