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Real estate portfolio diversification by property type and region
16 references·10 citing·39 second hop
Real estate portfolio diversification by property type and region (1995)Real estate portfolio diversification by …Does industrial structure explain the benefits of international diversification? (1994)Does industrial structure exp…Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)Estimating Market Values from…The allocation to property in the multi‐asset portfolio: The evidence and theory reconsidered (1992)The allocation to property in…Industrial Structure and the Comparative Behavior of International Stock Market Indices (1992)Industrial Structure and the …Risk and Return on Real Estate: Evidence from Equity REITs (1990)Risk and Return on Real Estat…Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns (1989)Estimating Real Estate's Syst…Refining the Analysis of Regional Diversification for Income-Producing Real Estate (1987)Refining the Analysis of Regi…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Diversification Categories in Investment Real Estate (1986)Diversification Categories in…Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1983)Arbitrage, Factor Structure, …Historic Returns and Institutional Real Estate Portfolios (1982)Historic Returns and Institut…Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1982)Arbitrage, Factor Structure, …The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…An Asymptotic χ2Test for the Equality of Two Correlation Matrices (1970)An Asymptotic χ2Test for the …Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*The work that place does: The London Landed Estates and a curatorial approach to estate management (2021)The work that place does: The…The Sources of Risk Spillovers among U.S. REITs: Financial Characteristics and Regional Proximity (2014)The Sources of Risk Spillover…International Diversification Strategies for Direct Real Estate (2009)International Diversification…The EU REIT and the Internal Market for Real Estate (2008)The EU REIT and the Internal …The Changing Importance of Sector and Regional Factors in Real Estate Returns: 1987–2002 (2007)The Changing Importance of Se…Testing the statistical significance of sector and regional diversification (2005)Testing the statistical signi…Returns and Risk on Real Estate and Other Investments: More Evidence (2001)Returns and Risk on Real Esta…Homogeneous Commercial Property Market Groupings and Portfolio Construction in the United Kingdom (2000)Homogeneous Commercial Proper…Diversification by sector, region or function? A mean absolute deviation optimisation (1998)Diversification by sector, re…Real Estate Portfolio Analysis under Conditions of Non-Normality: The Case of NCREIF (1997)Real Estate Portfolio Analysi…The Efficiency of the Market for Single-Family Homes (1988)Forecasting Prices and Excess Returns in the Housing Market (1990)What Does the Stock Market Tell Us About Real Estate Returns? (1992)Value indices of commercial real estate: A comparison of index construction methods (1994)Price Discovery in American and British Property Markets (1995)Strategic asset allocation with liabilities: Beyond stocks and bonds (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)Stock returns and the weekend effect (1980)Generalized autoregressive conditional heteroskedasticity (1986)Market Integration and Investment Barriers in Emerging Equity Markets (1995)Striking oil: Another puzzle? (2008)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)Industry costs of equity (1997)Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)International Diversification of Investment Portfolios (1970)International Portfolio Choice and Corporation Finance: A Synthesis (1983)Volatility Spillover Effects in European Equity Markets (2005)Global market integration: An alternative measure and its application☆ (2009)Performance measurement with the arbitrage pricing theory (1986)The predictability of returns on equity REITs and their co-movement with other assets (1992)The Integration of Commercial Real Estate Markets and Stock Markets (1999)Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)An Empirical Investigation of the Arbitrage Pricing Theory (1980)The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)Panels with Nonstationary Multifactor Error Structures (2006)Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Overconfidence, Arbitrage, and Equilibrium Asset Pricing (2001)International Stock Return Comovements (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1983Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets1,097 cited
  • 1982Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets975 cited
  • 1994Does industrial structure explain the benefits of international diversification?746 cited
  • 1992Industrial Structure and the Comparative Behavior of International Stock Market Indices662 cited
  • 1993Estimating Market Values from Appraised Values without Assuming an Efficient Market420 cited
  • 1990Risk and Return on Real Estate: Evidence from Equity REITs365 cited
  • 1986Diversification Categories in Investment Real Estate266 cited
  • 1970An Asymptotic χ2Test for the Equality of Two Correlation Matrices254 cited
  • 1989Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns185 cited
  • 1987Refining the Analysis of Regional Diversification for Income-Producing Real Estate155 cited
  • 1982Historic Returns and Institutional Real Estate Portfolios

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126 cited
  • 1992The allocation to property in the multi‐asset portfolio: The evidence and theory reconsidered83 cited
  • Cited by

    • 2000Homogeneous Commercial Property Market Groupings and Portfolio Construction in the United Kingdom64 cited
    • 1998Diversification by sector, region or function? A mean absolute deviation optimisation57 cited
    • 2001Returns and Risk on Real Estate and Other Investments: More Evidence46 cited
    • 1997Real Estate Portfolio Analysis under Conditions of Non-Normality: The Case of NCREIF46 cited
    • 2014The Sources of Risk Spillovers among U.S. REITs: Financial Characteristics and Regional Proximity36 cited
    • 2008The EU REIT and the Internal Market for Real Estate31 cited
    • 2005Testing the statistical significance of sector and regional diversification30 cited
    • 2009International Diversification Strategies for Direct Real Estate26 cited
    • 2007The Changing Importance of Sector and Regional Factors in Real Estate Returns: 1987–200222 cited
    • 2021The work that place does: The London Landed Estates and a curatorial approach to estate management6 cited