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The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach
16 references·16 citing·43 second hopsampled
The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach (2007)The Inflation Hedging Characteristics of …The Integration of Commercial Real Estate Markets and Stock Markets (1999)The Integration of Commercial…Stock returns and inflation: A long-horizon perspective (1993)Stock returns and inflation: …Inflation and Asset Returns in a Monetary Economy (1992)Inflation and Asset Returns i…Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation (1992)Causal Relations Among Stock …Risk and Return on Real Estate: Evidence from Equity REITs (1990)Risk and Return on Real Estat…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…The Econometric Analysis of Time Series. (1983)The Econometric Analysis of T…The Adjustment of Stock Prices to Information About Inflation (1981)The Adjustment of Stock Price…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Asset returns and inflation (1977)Asset returns and inflationThe "Fisher Effect" for Risky Assets: An Empirical Investigation (1976)The "Fisher Effect" for Risky…THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION (1976)THE “FISHER EFFECT” FOR RISKY…INFLATION AND RATES OF RETURN ON COMMON STOCKS (1976)INFLATION AND RATES OF RETURN…COMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)COMMON STOCKS AS A HEDGE AGAI…Inflation expectations and consumer spending: the role of household balance sheets (2022)Inflation expectations and co…The determinants of homeownership affordability in Greater Sydney: evidence from a submarket analysis (2021)The determinants of homeowner…House price diffusion of housing submarkets in Greater Sydney (2019)House price diffusion of hous…News-based sentiment analysis in real estate: a machine learning approach (2018)News-based sentiment analysis…Low‐frequency volatility of real estate securities and macroeconomic risk (2017)Low‐frequency volatility of r…What do scientists know about inflation hedging? (2015)What do scientists know about…Returns and Information Transmission Dynamics in Public and Private Real Estate Markets (2015)Returns and Information Trans…Inflation hedging and protection characteristics of infrastructure and real estate assets (2015)Inflation hedging and protect…Do Public Real Estate Returns Really Lead Private Returns? (2015)Do Public Real Estate Returns…DO EUROPEAN REAL ESTATE STOCKS HEDGE INFLATION? EVIDENCE FROM DEVELOPED AND EMERGING MARKETS (2014)DO EUROPEAN REAL ESTATE STOCK…Real estate markets and the macroeconomy: A dynamic coherence framework (2012)Real estate markets and the m…The Long-Horizon Benefits of Traditional and New Real Assets in the Institutional Portfolio (2010)The Long-Horizon Benefits of …Land leverage and house prices (2010)Land leverage and house pricesInflation-Hedging Properties of Real Assets and Implications for Asset–Liability Management Decisions (2009)Inflation-Hedging Properties …Inflation Hedging for Long-Term Investors (2009)Inflation Hedging for Long-Te…Global Securitized Real Estate Benchmarks and Performance (2009)Global Securitized Real Estat…MONEY, INCOME, AND CAUSALITY (1972)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Why Does Stock Market Volatility Change Over Time? (1989)On the Risk of Stocks in the Long Run (1995)The Decline of Inflation and the Bull Market of 1982-1999 (2002)Money Illusion and Housing Frenzies (2007)Short- Term Interest Rates as Predictors of Inflation (2021)PORTFOLIO SELECTION* (1952)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)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)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)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock Market Returns and Inflation: Evidence from Other Countries (1983)Forecasting stock market returns: The sum of the parts is more than the whole (2011)How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements (2013)Estimating betas from nonsynchronous data (1977)Stock Prices and Economic News (1984)BUBBLES AND FADS IN ASSET PRICES (1989)Dynamic analysis between the US stock returns and the macroeconomic variables (2007)Macroeconomics and Reality (1980)On Stock Market Returns and Monetary Policy (1997)Consumer Confidence and Asset Prices: Some Empirical Evidence (2006)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Economic Significance of Predictable Variations in Stock Index Returns (1989)Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns (1994)The Presidential Puzzle: Political Cycles and the Stock Market (2003)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)
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References

  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 1983The Econometric Analysis of Time Series.900 cited
  • 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION697 cited
  • 1976INFLATION AND RATES OF RETURN ON COMMON STOCKS567 cited
  • 1992Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation551 cited
  • 1987Stock returns and inflation426 cited
  • 1993Stock returns and inflation: A long-horizon perspective426 cited
  • 1981The Adjustment of Stock Prices to Information About Inflation387 cited
  • 1984A comparison of inflation forecasts380 cited
  • 1990Risk and Return on Real Estate: Evidence from Equity REITs365 cited
  • 1976THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION357 cited
  • 1999The Integration of Commercial Real Estate Markets and Stock Markets290 cited
  • 1976The "Fisher Effect" for Risky Assets: An Empirical Investigation285 cited
  • 1992Inflation and Asset Returns in a Monetary Economy

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Cited by

  • 2015Returns and Information Transmission Dynamics in Public and Private Real Estate Markets139 cited
  • 2010Land leverage and house prices95 cited
  • 2015What do scientists know about inflation hedging?94 cited
  • 2012Real estate markets and the macroeconomy: A dynamic coherence framework86 cited
  • 2019House price diffusion of housing submarkets in Greater Sydney76 cited
  • 2009Inflation Hedging for Long-Term Investors72 cited
  • 2021The determinants of homeownership affordability in Greater Sydney: evidence from a submarket analysis71 cited
  • 2009Inflation-Hedging Properties of Real Assets and Implications for Asset–Liability Management Decisions60 cited
  • 2018News-based sentiment analysis in real estate: a machine learning approach55 cited
  • 2009Global Securitized Real Estate Benchmarks and Performance38 cited
  • 2022Inflation expectations and consumer spending: the role of household balance sheets36 cited
  • 2017Low‐frequency volatility of real estate securities and macroeconomic risk35 cited
  • 2010The Long-Horizon Benefits of Traditional and New Real Assets in the Institutional Portfolio34 cited
  • 2015Do Public Real Estate Returns Really Lead Private Returns?33 cited
  • 2014DO EUROPEAN REAL ESTATE STOCKS HEDGE INFLATION? EVIDENCE FROM DEVELOPED AND EMERGING MARKETS30 cited
  • 2015Inflation hedging and protection characteristics of infrastructure and real estate assets26 cited