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Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Economic Models
16 references·2 citing·45 second hop
Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Economic Models (2007)Low Interest Rates and High Asset Prices:…Superstar Cities (2013)Superstar CitiesLiquidity and Financial Cycles (2008)Liquidity and Financial CyclesUnderstanding Recent Trends in House Prices and Home Ownership (2007)Understanding Recent Trends i…Money Illusion and Housing Frenzies (2007)Money Illusion and Housing Fr…The Incredible Volcker Disinflation (2005)The Incredible Volcker Disinf…The Limits of Arbitrage (1995)The Limits of ArbitrageMovements in the Equity Premium (1993)Movements in the Equity Premi…Speculative Prices and Popular Models (1990)Speculative Prices and Popula…Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Stock Prices and Social Dynamics (1984)Stock Prices and Social Dynam…Perspectives on High World Real Interest Rates (1984)Perspectives on High World Re…Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates (1983)Forward Rates and Future Poli…The Financial Valuation of the Return to Capital (1980)The Financial Valuation of th…Manias, Panics, and Crashes: A History of Financial Crises (1979)Manias, Panics, and Crashes: …Inflation, Rational Valuation and the Market (1979)Inflation, Rational Valuation…The Investment, Financing, and Valuation of the Corporation (1963)The Investment, Financing, an…Identifying and measuring the contagion channels at work in the European financial crises (2017)Identifying and measuring the…Housing price bubbles in Beijing and Shanghai? (2010)Housing price bubbles in Beij…Asset returns and inflation (1977)Stock Returns and the Term Structure (1985)Noise (1986)Predicting returns in the stock and bond markets (1986)Good Day Sunshine: Stock Returns and the Weather (2003)Expected Stock Returns and Variance Risk Premia (2009)The "Hot Issue" Market of 1980 (1984)Why new issues are underpriced (1986)The Efficiency of the Market for Single-Family Homes (1988)The Pricing of Initial Public Offerings: A Dynamic Model with Information Production (1993)Bubbles in Metropolitan Housing Markets (1994)A portrait of the individual investor (1998)Loss Aversion and Seller Behavior: Evidence from the Housing Market (2001)Housing Markets and Structural Policies in OECD Countries (2011)The Walkability Premium in Commercial Real Estate Investments (2011)Household leveraging and deleveraging (2014)A model of investor sentiment /CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Does the Stock Market Overreact? (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Investor Psychology and Asset Pricing (2001)The Efficient Market Hypothesis and Its Critics (2003)Wages, Rents, and the Quality of Life (1982)Geography, Industrial Organization, and Agglomeration (2003)The Geographic Determinants of Housing Supply * (2010)Productive Cities: Sorting, Selection, and Agglomeration (2014)The Impact of Supply Constraints on House Prices in England (2014)No Price Like Home: Global House Prices, 1870–2012 (2017)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Business conditions and expected returns on stocks and bonds (1989)ARCH modeling in finance (1992)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)The East Asian Financial Crisis: Diagnosis, Remedies, Prospects (1998)The Adaptive Markets Hypothesis (2004)From Financial Crash to Debt Crisis (2011)Asset Pricing at the Millennium (2000)Beyond Greed and Fear (2002)Behavioral finance (2003)
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References

  • 1995The Limits of Arbitrage5,282 cited
  • 1979Manias, Panics, and Crashes: A History of Financial Crises2,838 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1984Stock Prices and Social Dynamics1,615 cited
  • 1963The Investment, Financing, and Valuation of the Corporation958 cited
  • 1979Inflation, Rational Valuation and the Market944 cited
  • 1983Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates562 cited
  • 2007Understanding Recent Trends in House Prices and Home Ownership502 cited
  • 2013Superstar Cities482 cited
  • 1990Speculative Prices and Popular Models448 cited
  • 2007Money Illusion and Housing Frenzies426 cited
  • 2005The Incredible Volcker Disinflation296 cited
  • 1993Movements in the Equity Premium262 cited
  • 1984Perspectives on High World Real Interest Rates167 cited
  • 2008Liquidity and Financial Cycles126 cited
  • 1980The Financial Valuation of the Return to Capital106 cited

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  • 2010Housing price bubbles in Beijing and Shanghai?75 cited
  • 2017Identifying and measuring the contagion channels at work in the European financial crises29 cited