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The Historical Environment of Real Estate Returns
16 references·10 citing·33 second hop
The Historical Environment of Real Estate Returns (1995)The Historical Environment of Real Estate…Real Estate Market Efficiency: Issues and Evidence (1995)Real Estate Market Efficiency…Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison (1993)Return Properties of Equity R…Index- Based Futures And Options Markets In Real Estate (1993)Index- Based Futures And Opti…What Does the Stock Market Tell Us About Real Estate Returns? (1992)What Does the Stock Market Te…Risk and return in real estate (1991)Risk and return in real estateTHE PERFORMANCE OF REAL ESTATE AS AN ASSET CLASS (1990)THE PERFORMANCE OF REAL ESTAT…Risk and Return on Real Estate: Evidence from Equity REITs (1990)Risk and Return on Real Estat…Equity Real Estate Investment Trusts and Real Estate Returns (1990)Equity Real Estate Investment…Interest-Rate Sensitivity of Real Estate Investment Trusts (1988)Interest-Rate Sensitivity of …Refining the Analysis of Regional Diversification for Income-Producing Real Estate (1987)Refining the Analysis of Regi…Real Estate Returns and Inflation (1987)Real Estate Returns and Infla…Diversification Categories in Investment Real Estate (1986)Diversification Categories in…Real Estate Returns: A Comparison with Other Investments (1984)Real Estate Returns: A Compar…Real Estate Investment Funds: Performance and Portfolio Considerations (1984)Real Estate Investment Funds:…Asset returns and inflation (1977)Asset returns and inflationStocks, Bonds, Bills, and Inflation: Year-by-Year Historical Returns (1926-1974) (1976)Stocks, Bonds, Bills, and Inf…Valuation procedure and cycles: an emphasis on down markets (2011)Valuation procedure and cycle…A Business Intelligence System for Risk Management in the Real Estate Industry (2011)A Business Intelligence Syste…Real Estate in an ALM Framework: The Case of Fair Value Accounting (2010)Real Estate in an ALM Framewo…Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes (2009)Strategic Asset Allocation: D…The Role of Singapore REITs in a Downside Risk Asset Allocation Framework (2003)The Role of Singapore REITs i…Returns and Risk on Real Estate and Other Investments: More Evidence (2001)Returns and Risk on Real Esta…The Inflation-Hedging Characteristics of Real and Financial Assets in Hong Kong (1998)The Inflation-Hedging Charact…Real Estate Returns and Inflation: An Added Variable Approach (1998)Real Estate Returns and Infla…Real Estate Asset Allocation and the Decisionmaking Framework Used by Pension Fund Managers (1997)Real Estate Asset Allocation …Higher Real Estate Risk and Mixed-Asset Portfolio Performance (1997)Higher Real Estate Risk and M…The arbitrage theory of capital asset pricing (1976)Price Discovery in American and British Property Markets (1995)The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns (2001)The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Equilibrium in a Capital Asset Market (1966)Price formation and the appraisal function in real estate markets (1991)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)Do Real Estate Prices and Stock Prices Move Together? An International Analysis (1999)Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)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)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)COMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)Real Estate Returns and the Macroeconomy: Some Empirical Evidence from Real Estate Investment Trust Data, 1972-1991 (1994)Real Estate Cycles and Their Strategic Implications for Investors and Portfolio Managers in the Global Economy (1999)Short- Term Interest Rates as Predictors of Inflation (2021)The information content of discounts and premiums on closed-end fund shares (1978)Value indices of commercial real estate: A comparison of index construction methods (1994)A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence (2008)Economic Forces and the Stock Market (1986)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)Trading costs for listed options (1980)Investment Income and Profit Margins in Property-Liability Insurance: Theory and Empirical Results (1987)The Shrinking Equity Premium (1999)Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns (1989)International Evidence on Real Estate Securities as an Inflation Hedge (1997)
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References

  • 1977Asset returns and inflation2,701 cited
  • 1992What Does the Stock Market Tell Us About Real Estate Returns?438 cited
  • 1990Risk and Return on Real Estate: Evidence from Equity REITs365 cited
  • 1984Real Estate Returns: A Comparison with Other Investments335 cited
  • 1991Risk and return in real estate292 cited
  • 1986Diversification Categories in Investment Real Estate266 cited
  • 1990Equity Real Estate Investment Trusts and Real Estate Returns253 cited
  • 1984Real Estate Investment Funds: Performance and Portfolio Considerations224 cited
  • 1987Real Estate Returns and Inflation217 cited
  • 1976Stocks, Bonds, Bills, and Inflation: Year-by-Year Historical Returns (1926-1974)212 cited
  • 1993Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison207 cited
  • 1993Index- Based Futures And Options Markets In Real Estate189 cited
  • 1987Refining the Analysis of Regional Diversification for Income-Producing Real Estate155 cited
  • 1990THE PERFORMANCE OF REAL ESTATE AS AN ASSET CLASS135 cited
  • 1995Real Estate Market Efficiency: Issues and Evidence132 cited

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1988
Interest-Rate Sensitivity of Real Estate Investment Trusts
126 cited

Cited by

  • 1998Real Estate Returns and Inflation: An Added Variable Approach83 cited
  • 1998The Inflation-Hedging Characteristics of Real and Financial Assets in Hong Kong56 cited
  • 1997Higher Real Estate Risk and Mixed-Asset Portfolio Performance48 cited
  • 2001Returns and Risk on Real Estate and Other Investments: More Evidence46 cited
  • 1997Real Estate Asset Allocation and the Decisionmaking Framework Used by Pension Fund Managers44 cited
  • 2009Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes41 cited
  • 2011Valuation procedure and cycles: an emphasis on down markets31 cited
  • 2003The Role of Singapore REITs in a Downside Risk Asset Allocation Framework30 cited
  • 2010Real Estate in an ALM Framework: The Case of Fair Value Accounting24 cited
  • 2011A Business Intelligence System for Risk Management in the Real Estate Industry14 cited